The CSR ( Certificate Signing Request) should get generated on the server which needs the certificate. The problem is that by default you can only generate a single named certificate. But there is a solution; use a custom powershell script.
I found a great script made by Reinout Segers.
You can find the script here.
Just run the script in Powershell and fill in the details. After this, the script will give you the CSR and the option to copy it to your clipboard. Save the CSR somewhere you will find it back.