The very first you need to do is to learn what you have received. Consult that guy who gave you the files.
Since Windows does not support .pem files, you will have to convert them to .pfx files, via OpenSSL or any other similar tool,
http://www.sslshopper.com/article-most-common-openssl-commands.html
Then you can install the certificates (Root CA, Intermediate, and server certificate) properly.
The error message you get for the .pfx file, simply means it is not for Server Authentication purpose. As a result, you cannot use it as server certificate. Try to see whether the correct certificate is in one of the .pem file.
Renaming .cer does not change its nature (but what it contains is unclear as you did not mention), so don't use it without knowning what it is.
If you are familiar with ASN.1 and certificates, you can use the utilities to analyze what are the files you get. But if you are not, you have to grab an expert locally, or try to open a support case viahttp://support.microsoft.com