Your WordPress blog still needs to be configured for HTTPS on your web server. That involves an SSL certificate and server configuration. Whether or not you need to buy one or if you can make your own certificate would depend on what you want to accomplish with HTTPS. This plugin does not deal with that part of using SSL. It just configures what parts of your blog will use HTTPS.
If you are just looking to secure the admin area for your own use, a self-signed certificate would suffice. If you want your visitors to use HTTPS to login or view the blog, a self-signed certificate will present them with a warning which might cause them concern. To remedy that warning you can use a certificate from a recognized provider. You might want to ask your web host for details.