A certificate signing request (CSR) is one of the first steps towards getting your own SSL/TLS certificate. Generated on the same server you plan to install the certificate on, the CSR contains information (e.g. common name, organization, country) the Certificate Authority (CA) will use to create your certificate. It also contains the public key that will be included in your certificate and is signed with the corresponding private key.
How to Create a CSR in Microsoft Management Console or MMC
How to Create a CSR in Java Key Store
How to Create a CSR in Apache OpenSSL
How to Create a CSR in Windows Server IIS 10