CSR stands for "Certificate Signing Request". A CSR contains information about the person or organization who is requesting the certificate (the same information which will eventually be contained in the certificate itself) along with a public key relating to that person or organization.

When you generate a CSR on your control panel, it constructs the public and private key pair that your server will eventually use for secure traffic, therefore, it is important you do not remove your generated CSR from the control panel.