Help importing certificate from internal CA without private key

1. I created a CSR from the certificate portal on the XG.
2. I downloaded the CSR to my laptop
3. I opened the .csr file and copy/pasted it into my internal CA's import process
4. Certificate was create successfully
5. Exported certificate/downloaded from CA
6. Tried to import the certificate to XG, but I don't have a private key

Google-fu says that in order to get private key, the certificate has to be imported on the machine that created the CSR, but XG won't let me import without private key.

The CA is Server 2008 R2 on a domain.

I've tried to import the cert onto a windows box and then repair it to get a private key, but that gives me an error saying it can't find the private key. From the CA Issued Certs, I cannot export the private key (there isn't one to export?).