I would recommend studying the programming examples of the
JSSE; this code helps you establish an SSL session with a remote SSL server. The Client Authentication is merely an additional step in the session establishment process. I would recommend converting the PFX file (using keytool) to a JKS file. This will make it a little easier to work with the Java code since you can access and manipulate the JKS file directly with keytool on the command line. Otherwise, you'll have to constantly remember that the PFX is a PKCS12 file, and indicate this in your code as well as keytool commands.
Hope that helps.
Arshad Noor
StrongAuth, Inc.