You need to generate a CSR from the server you want to install the certificate on. Whoever your using as the Certificate Authority (where you bought the cert) should have detailed instructions on this.
Common name -
The fully qualitied domain name. In your case, using the wildcard in the URL. For example: *.stackoverflow.com
Organisation: -
The registered name of your business. If it's an individual, enter your name.
Organisation Unit -
It's optional. I usually put IT or Website.
City -
Full name of the city where located. No abbreviations.
State -
Same as city.
Country -
Two-letter ISO country code.
Click next and on the Cryptographic service provider properties page:
Cryptographic service provider -
Microsoft RSA SChannel Cryptographic Provider
Bit length -
If this is a new cert, I'm guessing it will be 2048 as that's the minimum length now.