This article goes into detail on how to generate certificate signing request on Microsoft IIS 5.x / 6.x.
Note: If you do not see the above screenshot, you probably already have an SSL Certificate on the website you're using. Please follow these on how to create CSRwithout removing the current certificate.
To save your private key:
We recommend that you make a note of your password and backup your key as these are known only to you, so if you loose them we can't help! A floppy diskette or other removable media is recommended for your backup files.