Is someone asking you for a "cover letter", like a loan company, student financial aid, etc.?
Are you referring to the "thank you", summary pages, filing instructions page, electronic postmark, etc.? If you have already filed, but the PDF you download at the Tax Home doesn't have those extra pages, here's how to get them:
Here's how to open your return back up to go the Print Center where you can choose various PDFs.
NOTE: When you open your return back up, do not make any changes in it if it's already been filed.
NOTE: Do NOT use this method to open a return to make changes/edits to an already-filed return (one that has actually been mailed or efiled.) If you later need to make changes to an already-filed return, you have to go through the formal amending process, and your return must start off exactly as originally filed.