I created a certificate request in Windows MMC certificates snap-in. I sent the request to a CA and got a response. How do I merge the response with my CSR to create a full certificate with private key within the mmc?
Just right-click on the same certificate store from which you made the request, go to All Tasks, and choose Import...
You'll know that you did it correctly if the imported certificate shows up with a little key on its icon, meaning that you have the corresponding private key. If your certificate's icon is missing the little key, then you did something wrong. What might you have done wrong? You might have imported a certificate into the User/Personal store when your request was from the Computer/Personal store, or vice versa. Or you might have made the request from another computer than the one you're importing to. Only the computer where the request was originally generated has the private key.
You can also use
certreq -accept c:\certificates\certificate.cer to accept the signed certificate. If you did everything correctly, Windows will magically know which private key it needs to be joined to during the import.