Once you have created and assigned a Certificate of Sponsorship to an employee, they must use the certificate to apply for a visa. This application will usually have to be made before they can start working for you.
If the individual is abroad, then they will need to apply at their local UK Visa Application Centre in the country that they are in. If they are already lawfully inside the UK (for instance on a student visa), then they can usually apply to the Home Office in the UK. In some cases, an individual's visa does not allow them to switch/change visa categories within the UK and those who fall into this category will usually have to leave the UK to make this application from abroad.
The individual will need to demonstrate that they have a valid Certificate of Sponsorship and that they meet the additional requirements in order to qualify for the visa.