JXplorer Security Keystores
The GUI interface to the keystore will show all available keystore types in the pull down lists; By default it should show JKS (java keystore - recommended) and PKCS12 (Sun's implementation is dodgy, so test carefully).
Certificates
There are two certificate keystores. The first lists the certificates of servers you trust, the second your own certificates and private keys.
'Trusted Servers and CAs' keystore
If you are doing normal SSL with username/password, this is the only keystore you need worry about!. This one keystore is used both for individual server certificates and for certificate authorities. It ships with a demo certificate that is almost certainly useless for anything except verifying that the keystore and certificate viewer works :-).
Normal X509 certificates can be imported, either in .pem or .der format. Microsoft .cer certs should be importable as well; you'll need to rename them to .pem or .der first though. if your X509 certificate doesn't have this suffix, you may be able to simply rename it; if it is base64 encoded, use '.pem', if raw binary use '.der'.
'Client Certificates' keystore
This is only used for LDAP SASL authentication without username/password. ...And to be honest it's a pain to get working! With this keystore you can import your certificate and a matching private key, and if everything is set up correctly at both client and server end, you can get SASL working. However, it's an administrative nightmare, and if you can get away with SSL and username/password your life will be a lot easier. That said, it does work; use an X509 certificate as described above, and import the corresponding pkcs#8 private key, after having removed any password (it will be re-protected with the keystore password once imported).
With a following wind you might be able to use a pkcs#12 file as the keystore, simply by changing the keystore type to 'PKCS12' and setting the keystore location to be the actual pkcs12 file. However I've found Sun's implementation of pkcs12 to be dodgy (it seems to work on pkcs12 files exported from mozilla though :-) ) so unless you're using a third party pkcs12 provider, you may have difficulties.