Did you get a certificate response from the CA that you are getting the cert issued through? Normally (at least in the org's that I have worked with) you submit the cert request, they take that, generate a cert response and you take that response (in my case it was always an encrypted cert saved as a .cer file) and finish the cert request on the same computer you started the new request on. I believe it is this step that is needed in order to get the private key. You'll know because once the cert request is finished and the certs are imported into the Personal store the cert icon will have the little key symbol in it indicating the cert has an associated private key. Once that is done RS Config Mgr should be able to see and use the cert for SSL.