Use Internet Explorer for this step. (If you use Firefox the steps for backing up your cert will be different)
Accept the defaults for everything else.
You will receive an email once you're cert has been created at which point you should use the same computer to fetch the certificate via the link provided in that email.
Now that you have your certificate you should create a backup of your certificate:
In Internet Explorer go to Tools | Internet Options...
Click on the Content page.
Click on the Certificate button.
Under the Personal tab find your thawte issued certificate, highlight it, and click the Export... button.
Choose to export the private key and click next.
Choose to Include all certificates.
Choose and type a strong password to secure the certificate you are exporting.
Choose a location and filename to save the certificate.
Now, if you'd like to use your certificate in other programs, such as Thunderbird, or on other computers all you need to do is import the certificate from the backup that was created.
Notes:
Signing an email does not impede the recipient's ability to read it. It simply notifies the user, usually with a visual icon in the header field like this one from Thunderbird, that the email came from you and that it wasn't altered. If the recipient's email client does not understand the certificate they might see an attachment, which they can ignore, and they will still be able to read your email in its entirety.
Encrypting an email requires that both you and the recipient(s) have certificates. Prior to being able to send an encrypted email simply exchange a signed email with your recipient(s).
Although it is possible to send an encrypted email with also signing it there would be no way to determine the email came from you so you should always sign your emails.