To generate the request:
http://help.godaddy.com/article/5281Once you have boght the certificate from Go-Daddy, go to the Manage SSL Certificates and paste in the request. If you buy a UCC certificate you will be able to add additional names for the certificate, this would be for example the fully qualified name of the terminal server etc.
One of the names should be autodiscover.domain.com. This basically is a web page hosted on your exchange server that gives querying outlook clients, 2007 and above, all the server information, so that you don't have to type it in when you set up a client. Users simply put in there email address and password and Outlook finds out the rest itslef. You obviosly have to set up an external A-record pointing to your server called autodiscover if you want that part to work. It also helps when you are setting up mobile devices etc, so it is not a bad idea to have it.
If you don't get a UCC then yes you need an additional certificate for your Terminal Server as the name is different.
Once you have done the first part Go-Daddy at pretty good at guiding you through the rest of the steps, just read the emails they send you and use the links.
If you use an self signed SSL then yes you will need to update the certificate on each of your computers, but they can do this by browsing to OWA and installing the certificate in "Trusted Route Certificates". If you buy one from Go-Daddy then you do not need to install the certificate, it will just work.