Adding Certificate from Microsoft CA

Following: https://www.manageengine.com/products/desktop-central/help/configuring_desktop_central/importing_ssl_certificates.html

I'm trying to add a certificate from our Microsoft domain CA. It gives me a .cer and .crt file

When I import the .crt file it asks for a .key file. What do I need to do to get the .key file? Are there alternate instructions when using a Microsoft CA?