Unless you can manage your entire server operation, generate the CSR, and install the necessary software items on your server, let the host do it. The costs are usually much less and it can be done very quickly.
The steps are:
1. Contact your host and purchase the certificate of choice. They usually come in various levels of encryption strength (128, 256) and may offer some form of protection (insurance).
2. You will need to follow their steps for passwords, user names, and so on.
3. Provide them paperwork in a very timely fashion. One suggestion is to contact them in advance, find out what you will need to give them, and then purchase. That way you can have it all gathered up and are ready to go.
4. Once they validate you, set up the CSR and install the certificate. You will be notified of its installation, and in some cases receive a new IP address (as in the case of GoDaddy.com). The item to remember is your FTP client, which may not work if your server's IP address...