In order to comply to the security standards of a Web Service we want to use, we need the X509 public/private key signing for communication between our .NET Client and that (not .Net) Web Service. We want to use WSE 3.0 but the the problem we are facing at the moment is we have difficulties to 'import' the keys we received from the web service owner in the mmc.
( public key: a '.509' file,
  private key: a '.key' file)

Importing the public key itself in mmc is no problem. In mmc we can read some of its general information, but we find no way to 'attach' the corresponding private key to it. Without the private key Windows doesn't have enough information to verify the certificate.
What would be the correct approach?
Any help on this subject would be highly appreciated.

more info on what's used: RSA and X509v1 certificates