I installed an SBS 2011 box this weekend and I wanted to install a UCC SSL certificate on it. I get my certificates from godaddy, and this was the method I used in the Exchange Management Console to create the CSR that godaddy needed.
Here is the text in case that link ever gets moved or taken down:
Open the EMC
Select "Server Configuration" in the menu on the left, and then "New Exchange Certificate" from the actions menu on the right.
When prompted for a friendly name, enter a name by which you will remember this certificate in the future.
This name is not an integral part of your certificate request.
Under Domain Scope, you can check the box if you will be generating the CSR for a wildcard. Otherwise, just go to the next screen.
If you do select that box for a wildcard, skip to step 7.
In the Exchange Configuration menu, select the services which you plan on running securely, and enter the names through which you connect to those services, as prompted.
At the next screen, you will be able to review a list of the names which Exchange 2010 suggests you include in your certificate request. Review those names (using our SAN Name Help tool if necessary, and add any extra names at this point.
Your Organization should be the full legal name of your company.
Your Organization unit is your department within the organization.
If you do not have a state/province, enter the city information again.
Click "Browse" to save the CSR to your computer as a .req file, then Save, then Next, then New, and then Finish.
You should now be able to open the CSR as a notepad or wordpad file, and you will want to copy the entire body of that file into the online order process.