While Binding SSL cert to the site - error "The system cannot find the file specified. ( Exception from HRESULT: 0x80070002)

I am able to successfully complete Certificate request in IIS and it shows up under Server certificates. It also has a private key but I get this error "The system cannot find the file specified. ( Exception from HRESULT: 0x80070002) while binding it to the site. Any help is much appreciated.

Thanks