I received .crt .pem and .p7b file from GoDaddy to setup SSL. How can I generate a .pfx file from them using openssl

It appears you are after a PKCS#12 file. In this case you should be able to do something like so:

openssl pkcs12 -export -in your.crt -inkey your.pem -out resulting.pfx

options are pretty self-explanatory. Depending on whether your source key is password-protected you might also need to supply that via -passin/-passout values