Let's say you have a domain name of foo.com. You'll first need to generate the the .csr file for GoDaddy with the following command:
openssl req -new -newkey rsa:2048 -nodes -keyout foo.com.key -out foo.com.csr
This gives you 2 files:
foo.com.key - This is the private key
foo.com.csr - This is the Certificate Signing Request
You'll give the foo.com.csr file to the SSL signing authority. In the case of GoDaddy, they'll give you back a .zip file with the following 2 files:
foo.com.crt - This is your cert
gd_bundle.crt - This is the GoDaddy Certificate Chain
With all these files, you need to generate the .pem file. This is actually pretty easy. Assuming that you created the private key (foo.com.key) without a password, you can just do the following in order to create your .pem file:
cat foo.com.crt foo.com.key gd_bundle.crt > foo.com.pem