Generally that means that you are visiting the collection link either in a different browser or on a different computer than the one you used to order. The private key portion of the order is temporarily stored in the browser for security (so that it never leaves your possession) and is paired with the certificate at collection time (so you can export it to a PFX file -- see the Exporting tutorials for instructions there).

The other possible reason you might see an error message like that is if you used Chrome to order. If that is the case, email us with your order number and we'll fix it for you.