How it works:
To enable HTTPS on your site, an HTTPS certificate is needed. To do so, two files are required. The private key, and the CSR. This page helps generate both of those files.
The CSR is provided to the Certificate Authority, or, the place you are obtaining the certificate from. The private key is yours, and should not be provided to the Certificate Authority. The Certificate Authority takes the CSR and turns it in to a certificate. The certificate, together with the private key, enable HTTPS.