Private key missing from Enterprise certificate.

I am setting up a windows 8 mobile company store.

I have installed the Root and CA certificates required for the Enterprise Windows Phone Certificate. However after downloading and installing the Enterprise Windows Phone Certificate I do not have the ability to export my cert with the private key (its greyed out). This leads me to believe I did not get a pvt key with my Enterprise Windows Phone Certificate. Could you advise me as to what might be the issue. 

Note: I was sent the "Enterprise Windows Phone Certificate" since the person who purchased the cert is not the person working with it. (I mention since I did not use the browser itself to install the cert. Might that be part of the issue?)