.CSR ...
Certificate Signing Request. Never used during installation, *ONLY* used for requesting a new SSL certificate from the CA (Certificate Authority). The .CSR file is generated together with the Private-Key. See https://www.interssl.com/en/ssl-tools-csrcreate.php and https://www.interssl.com/en/ssl-tools-csrgen.php
.KEY ...
Private Key. Either created directly by the server together with the Certificate Signing Request (z.B. Microsoft / IIS) or manually with Command Line Tools (openssl) or the InterSSL Online Generator. The .KEY file is typically created together with the .CSR file. See also https://www.interssl.com/en/ssl-tools-csrcreate.php and https://www.interssl.com/en/ssl-tools-csrgen.php
.CRT or .CER ...
Certificate files in X.509 format ... .CRT ist typical for Linux, Apache, Nginx, ... Microsoft usually uses .CER extension, the format is X.509 though, only file suffix is named differently. The .CRT or .CER file will be delivered to you by the certificate authority, usually by email after a certificate signing request has been submitted and the domain validation has been successfully completed. These files are text files starting with ----- BEGIN .... followed by a base64 encoded text block.
.P7B ...
PKCS#7 certificate file (no Private Key) ... typically used by Windows, IIS ... Base64 encoded certificate.
.PFX / .P12 ...
PKCS#12 certificate file (including Private Key) ... typically used by Windows, IIS ...