Then when you complete the request on the machine you generated the CSR from and install the cert, you should be able to right click the certificate from the cert store and choose export:
And finally, the option to export the private key should be available:
If your import/install of the certificate is working fine and you still do not see that option to Export the private key, I would double check that CSR.
So, if my understanding is right, you use the certificates snap-in to generate the request.
Following these instruction does not allow to specify that the private key has to be exportable.
Is there something wrong with the Go Daddy documentation ?
I finally solved my issue regenerating a new csr according to these instructions :
The certificate was re-keyed using this new csr and worked like a charm
Thanks for your help