Do I need to receive the private key from VeriSign?

I requested a trial certificate from Verisign which I received via email and thus the intermediate and root ones. I'm using this certificate for https and theres supposed to be a private key for decryption. I generated the CSR file from IIS 8 Windows 2012.

Do IIS have a private key and the CSR is created using this? Where is the private key here?

Regards,