We have set up a Certificate Authority,
We have now created a certificate request.
How do we turn this certificate request into an actual certificate at the authority?
Very much depends on the software you use to maintain the Certificate Authority. If you use OpenSSL there are helper scripts called CA.pl or CA.sh. I am also a huge fan of "easy-rsa" (google for it).
If you are using OpenSSL, see http://novosial.org/openssl/ca/ You'll probably want to download and inspect the Makefile.
OpenSSL.org don't have a CA tutorial that I can find.
If IIS7 includes some CA certificate-signing options, you should probably ignore this answer. Although certificates produced and certified using OpenSSL should work just as well.