RSA Private Key is generated along with the CSR code on the server where your domain name is hosted. There are two possible scenarios: either the certificate was only activated and not installed on the server or you need to reinstall the Certificate.
If your domain name is hosted on an IIS (Microsoft Internet Information Services) environment, you should be able to restore the Private Key following the instructions provided by Comodo Certificate Authority that has issued your certificate. If you are using WHM with root access and a generated CSR code there, the RSA Private Key should be fetched during SSL installation. You only need to paste the domain name and use “fetch” option which will automatically fill in a corresponding box. You can also ask your webhosting provider or server admin for assistance.