I have a private key that corresponds to this certificate but where is it?

I just got my first Comodo code signing certificate and successfully installed it. In Visual Studio 2010, where I developed the application I'm attempting to sell, I went ahead and selected the Comodo certificate to use for signing by clicking on Select from Store. I found the Comodo certificate and and selected it, checked sign the ClickOnce manifests and also checked sign the assembly. I did a rebuild and then using InstallShield created an exe which I uploaded to my website. When I download my application I still see the same IE9 SmartScreen Filter message that says this in an unsigned program, Publisher : Unknown.

I went back into Visual Studio to the screen for signing and looked at the details for the Comodo certificate and noticed that it says, "You have a private key that corresponds to this certificate." So I'm thinking that where it says in the signing window, "choose a strong name key file", that I should be using the private key that corresponds to my Comodo certificate. I can browse for a .pfx file but I can't find any .pfx file that I know as coming from Comodo. Would I look in Program Files? My computer is set up for triple boot too so maybe it installed the certificate and key on another partition but the Comdo certificate was in the Certificate Store.

Is the reason I'm still seeing the SmartScreen Filter message as saying my program is unsigned because I need to use the private key that corresponds to the code signing certificate? If that's it then I just need to find that private key.