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Generate private key with a bit lenght of 2048. 2048 bits is minimum for this time of writing.
openssl genrsa -out <Filename of private key.key> 2048
Generate CSR (Customer Signing request) using private key.
openssl req -new -key <Filename of private key.key> -out <Filename of CSR.csr>
Fill out questions when asked. CN is very important.
openssl req -noout -text -in <Filename of CSR.csr>