We generated the .csr and .key files mentioned and sent them over to our SAML team. They then sent us back the .crt and .key files.
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I did figure out the way to generate the .crt file as well
Here are the steps and commands to generate all 3 files. This worked for me.
Steps to Generate Certificate File and Key File for 10.1 version:
1. Set Open SSL Config using this command: (Optional)
set OPENSSL_CONF=c:\Program Files\Tableau\Tableau Server\<version>\apache\conf\openssl.cnf
2. Navigate to C:\Program Files\Tableau\Tableau Server\<version>\apache\bin
.Key File: openssl.exe genrsa -out <yourcertname>.key 4096
3. .csr File: openssl.exe req -new -key yourcertname.key -out yourcertname.csr
add -config ..\conf\openssl.cnf at the end if you do not set the OPEN SSL config
4. .crt File: openssl.exe x509 -req -days 1825 -in devcert.csr -signkey devcert.key -out devcert.crt