I'm a web hosting provider myself, and to answer your question-- it depends on the host. Some hosts allow you to install the SSL cert yourself, some require that they install it for you ( usually for a small fee ). As far as which cert you are able to use, I don't know of any host that has any restrictions on the specific cert that gets installed.
The cert you purchased should be fine, if you are unsure, I'd issue a support ticket and ask. If they do restrict you to just using the SSL's that the provide, then I think I'd look for a new host-- but, that's my opinion.

Let me know if I can help.