Generating CSR in keychain, private key not created osx

I am generating a CSR to enable push notifications in my app (following the instructions here) http://www.raywenderlich.com/3443/apple-push-notification-services-tutorial-part-12

But when I create the CSR, it is supposed to create a private key in my keychain, but it hasn't.

The steps I have followed are:
1. open keychain access
2. click "request certificate from a Certificate Authority..."
3. choose the save to disk option with common name "brendantest"
4. Look in keychain access for my private key, but it is not there.

Does anyone know why the key wouldn't show up or how to find it? (on mac osx 10.7.4)

Do you need private key to generate CSR?

You apply by generating a CSR with a key pair on your server that would, ideally, hold the SSL certificate. The CSR contains crucial organization details which the CA verifies. Generate a CSR and key pair locally on your server. The key pair consists of a public and private key.

I was bamboozled by this one too.

Turns out you need to highlight the 'login' section under keychains on the left first. Then it will create the private key when you do the CSR request.