There is no set procedure on how to send a CSR to a CA and get the certificate files. This is dependent on the CA and their procedures.
The file save in Generate a CSR has the information that a CA needs to issue certificate files. You will have to present this information to the CA in some way.
Once you give the CA the information from the generated file, they will give you instructions on how to proceed, probably an email message. You will have to save the certificate files somewhere on your workstation such as your Desktop. There should be three certificates: