RSA key conversion issue

It would appear your key is just not encrypted. If you have access to the shell, the manual for rsa gives you examples (as well as the rest of the openssl commands, very useful, IMNSHO):

       To encrypt a private key using triple DES:
        openssl rsa -in key.pem -des3 -out keyout.pem

Here are your other cipher options if you want something else:

-aes128|-aes192|-aes256|-camellia128|-camellia192|-camellia256|-des|-des3|-idea
           These options encrypt the private key with the specified cipher before outputting it. A pass phrase is prompted for.  If none of these options is specified the key is written
           in plain text. This means that using the rsa utility to read in an encrypted key with no encryption option can be used to remove the pass phrase from a key, or by setting the
           encryption options it can be use to add or change the pass phrase.  These options can only be used with PEM format output files.

If you don't have access to the shell, you can do that from virtually any linux or unix box (even a windows box if openssl is installed).