What is a "CSR" and how do I get one?

CSR stands for certificate signing request...

If you're using IIS have a look at:

https://www.cacert.org/help.php?id=3

if you're using openssl have a look at:

https://www.cacert.org/help.php?id=4

And some more info..

http://wiki.cacert.org/wiki/WebServers