What a CSR is
A CSR (Certificate Signing Request) asks a certificate authority to issue a certificate. It holds your public key and the domain names, signed with your private key. The CA checks your control of the domain and issues a certificate for that public key. The private key stays with you and goes on the server together with the issued certificate.
RSA or ECDSA
RSA 2048 works everywhere, including old hardware and phones. ECDSA P-256 is as strong but faster with a smaller handshake: pick it for modern servers. RSA 4096 is slower and rarely needed.
Once the certificate is installed, check the site with the SSL checker.