A CSR or Certificate Signing Request is an encrypted text block that is normally generated on the server where the SSL certificate will be used, although it can also be generated externally, using specific tools. The CSR allows by means of information to encrypt the exclusive communication between a device or server with the issuer of the SSL certificate.
A certification authority will use a CSR to create its SSL certificate, but it does not need your private key. You need to keep your private key secret. The certificate created with a particular CSR will only work with the private key that was generated with it.