It depends on what you're using for your server control panel. Usually, this is either Plesk or cPanel, and is also usually where you generated the CSR that you sent to TheSSLStore in the first place. You should just need to put the certifcate "BEGIN KEY HERE" stuff back into other input boxes on the same page you generated the CSR. cPanel/Plesk will validate it and let you know that it's for your server.
Let me know what your using, if the above doesn't help, and I'll try to find a good set of instructions.
Thanks,
Alex