SSL installation // beginning process

[whey]

My SSL provider just came back to me and now i need to generate a csr code. I tried the following:

openssl req -new -key server.key -out server.csr

And nothing happened so I installed openssl 0.9.8i and still nothing, it comes back with:

Error opening Private Key server.key                                                                
5811:error:02001002:system library:fopen:No such file or directory:bss_file.c:352:fopen('server.key'
,'r')                                                                                               
5811:error:20074002:BIO routines:FILE_CTRL:system lib:bss_file.c:354:                               
unable to load Private Key

any ideas as to what to do? thanks.