The CSR (Certificate Signing Request) is a file with a data structure that contains some of the elements necessary for the issuance of the Certificate.
Among the most important elements, it contains the public key that will be included in your Certificate and a proof of possession of the corresponding private key (the CSR information is signed with a private key).
It can also include some additional data such as the name of the entity, Internet domains, city, country, among others.
Usually, the CSR is created following the generation of the key pair (public and private).
The preservation of the private key is essential for the proper use of the Certificate, after it is issued by the Certification Body.
The signed Certificate issued by the Certification Body as well as the Certification Chain is made available in a set of files (in .crt or .cer format).
To generate the complete Certificate in .pem or .p7b format, it is necessary to carry out some steps (depending on the system used) to join all the elements received/generated (signed certificate, key pair, intermediate certificate(s) and root certificate)
Here's how to Generate a CSR file in OpenSSL or IIS.