It depends on the platform (e.g. Unix, Windows) and web server (e.g. Apache, IIS) that you are using. Some applications might have their own methods on how to generate the CSR for their environment.
Below is an example on how to generate a CSR on an Ubuntu server running Apache web server:
openssl req -new -newkey rsa:2048 -keyout server.key -out server.csr
You will need OpenSSL to be installed on the server. The above command will generate a new private key called server.key and a CSR (certificate request) called server.csr. The content of server.csr is the one which needs to be uploaded.
During the CSR creation, you will need to key in:
Some CSR generator might also require you to key in a challenge password and an optional company name.