Click the file (PKCS12 format) that contains the key and the certificate. Screenshot certificate
Select "login" for keychain and click "Add". Screenshot macOS: installation window
When prompted for the certificate password, enter the password and click "OK". Screenshot macOS: password request
After the installation you will be redirected to the Keychain Access. There you can see the certificate you just installed under "My Certificates". Screenshot macOS: Keychain Access