There is a certain chance that you'll receive an error message once you have installed your certificate. It may read like this: Cannot find the certificate request associated with this certificate file. A certificate request must be completed on the computer where it was created or ASN1 bad tag value met.
More often than not, providing that you used this computer to generate your CSR, this error is generated erroneously. The certificate is probably already installed. Quit and restart the IIS manager and the certificate should appear in the list.
If it is not, then an error has occurred. Unfortunately, this means that you'll have to create a new CSR and re-key your certificate.