Sorry, I meant to say a nice key symbol, not a padlock! Thanks Joie.

The process you've followed seems correct. Unfortunately the Enrollment Wizard is a strange mix of additional windows, drop-down lists, radio buttons, etc.... what a mess!

But I think your steps are right; the end result should be a text file (you can open it in Notepad); the first line should read:

-----BEGIN NEW CERTIFICATE REQUEST-----

And, as Joie says, you need to submit this file to your Security Team, who will then issue the certificate (with private key attached). The cert might have the extension .cer or .crt or .pfx.