A CSR (Certificate Signing Request) is an encrypted collection of text information. The CSR stores informationen about the domain name as well as information about the webserver that was used to create a CSR. Typically a CSR should be minimum 2048 bits to offer enough security.
Example - this is how a typical CSR will look like:
This is how to create a CSR under GNU/Linux:
The CSR will be created on the webserver on which the SSL certificate shall be installed. Here you will find detailed instructions how to create a CSR for various server systems. You will need a CSR in order to issue a SSL certificate!