You have a private key that will work with this certificate on the instance on which you generated the request (it doesn't show up in CertManager though) - your finished PKCS12 file will contain this key, the issued certificate and the issuing certificate hierarchy) - a correctly configured example will look similar to this when finished:

  1. Once you have your validated certificate (and normally a collection of Intermediate certificates from your CA) from the certification authority, you can then import each into CertManager. These are sometimes provided as a Zip file, so you may need to unzip those to a suitable location first.
  2. Import each certificate from your Certification authority:
    1. Within CertManager (Certificate(Local Computer)/Personal/Certificates) right Click, choose All Tasks, and then Import. On the first page of the Certificate Import Wizard, ensure Store Location is 'Local Machine' and hit next
    2. Select the File name of the certificate to import, and hit Next
    3. On the Certificate Storage, page ensure it is selected to 'Place all certificate in the following store', and Certificate Store: Personal.
    4. On the 'Completing the Certificate Import Wizard' page hit 'Finish' - you should now see the freshly imported certificate listed (as in above image)
    - Important note - one certificate has a slightly different icon - it has a private key included (the certificate authority certs don't)
  3. From within CertManager, open your certificate, it should state that 'You have a private key that corresponds to this certificate'
  4. select the 'Certification Path' tab - you will need to export all the listed certificates listed in the hierarchy (they should all be present under personal certificates)
  5. Back in CertManager/personal select all the certificates in the hierarchy, choose 'All Tasks' and 'Export'
  6. On the Certificate Export Wizard, Choose 'Next'.
  7. Export Private Key, Choose 'Yes, export the private key'
  8. Export File Format, should now have chosen 'Personal Information Exchange - PKCS #12 (.PFX), ensure that 'Export all extended properties' are chosen, and choose Next
  9. Under 'Security', choose 'Password'. This password will need to match the password in C:\Program Files(x86)\Shibboleth\IdP\jetty-base\start.d\idp.ini, field jetty.sslContext.keyStorePassword so set it and/or change the stored password as appropriate (the curly brackets in the default password are part of the password): 
 jetty.sslContext.keyStorePassword=superStrongPassword1
  1. Under File to Export, Select the file, navigate to C:\Program Files(x86)\Shibboleth\IdP\credentials and choose 'Save as Type', and 'All Files (*.*)', enter a suitable filename e.g. idp.example.ac.uk.pfx and Click Next
  2. Completing the certificate Export Wizard, Click Finish, and on you should have a dialogue to say that 'The Export was successful'
  3. Check: in a command prompt, run 
 keytool -list -v -keystore idp.example.ac.uk.pfx -storetype PKCS12

(enter password from above) - this should list the contained certificates (in a not very readable way)