I've followed many tutorials online and a lot make it overly difficult for this procedure. I'll lay out what i did in a few easy steps to help someone else in the future.

A little background information, we have a GoDaddy SSL certificate and are using jenkins in a windows 2012 environment. We are using Jenkins 1.9.x one of the last versions before Jenkins 2.0.

1. Download - http://www.keystore-explorer.org/ Install and run. (You may have to download a java "jce policy file" to run it. Just google it)
2. File -> New -> JKS keystore.
3. Tools -> Import key pair. (Note, you need a private key and a password around the private key.)
4. Now that the certificate is imported, save the keystore file to: \secrets\jenkins.jks
5. And lastly, modify the \jenkins.xml file arguments to: -Xrs -Xmx256m -Dhudson.lifecycle=hudson.lifecycle.WindowsServiceLifecycle -jar "%BASE%\jenkins.war" --httpPort=-1 --httpsPort=443 --httpsKeyStore="%BASE%\secrets\jenkins.jks" --httpsKeyStorePassword=YourPasswordWithoutQuotesAroundIt

Note that we are running IIS on this server as well, but nothing on port 443. We didn't need to import the CA certificate associated with this certificate into the jenkins keystore. Instead i imported it into the Windows Machine Personal store \ Trusted Root Certificate Authorities store, out of habit.