Create personal certificate from CSR
You have to generate a private key and a certificate request by yourself using a program such as OpenSSL. If you do not know how to do it, then this site will help you. Ultimately, you have to upload a file with generated request. The private key is stored only on your local disk. You have to take care of it. After generating the certificate, you can download it to a disk, convert to PKCS12 format and import into any browser.