You need to contact your previous health plan administrator or insurance carrier directly to request a certificate of insurance.
There may be other health insurance options that will provide the health coverage benefits that you need for you and your family. If you are healthy, you can get health insurance much cheaper than COBRA here:
http://www.cobrahealth.com/healthquotes.htmEnter your zip code, then click the button. It's important not to apply to just one carrier, you should find out what they all charge, and it does not cost you anything but some additional time.
If you have medical issues, read about health insurance alternatives here:
http://www.cobrahealth.com/ifyouareuninsurable.html