m0n0wall doesn't include a facility for generating private keys and CSRs, so you'll have to generate the key and CSR on another machine, send it to the CA to get the certificate, and then install the certificate + private key on your m0n0wall.
You could follow the instructions for Apache (
http://httpd.apache.org/docs/2.0/ssl/ssl_faq.html) - it's the same thing. Just make sure that the private key you copy to m0n0wall is not encrypted.