A Certificate Signing Request (CSR) is a unique bit of code generated when you need to have an SSL Certificate issued.
What this CSR does is pass on the information required such as the business name, domain name, locations, encryption key size and more to the Certificate Authority to be able to create your new SSL Certificate and issue it to you.
When you create your CSR it will be linked to a Private Key which will usually be created a the same time, this should be kept safe as you will also need it to install your SSL.