You can achieve this using OpenSSL. (Mac OSX includes OpenSSL within Terminal.app)
Some hosting systems require the Private key to be in RSA format rather than PEM. You can easily convert these files using OpenSSL.
For some installations it is not possible to verify the certificate installation using external scanners. Instead you can use OpenSSL commands to return all the certificates present on your domain and verify installation.
Instructions on how to generate a CSR code in Unbuntu.
Instructions on how to generate a CSR code using Apache.