You move your mouse until you make the necessary entropy. You can use your keyboard as well with your mouse movements. After that, your private key is generated.
When I do this, I move my mouse with my other hand, and criss cross my hands on the keyboards to make it less likely to use a repetitive pattern.
However, I read somewhere that humans are not good sources of entropy.... so maybe that is not a good idea. We problably keep moving the mouse in some crazy pattern.
I always assumed this isn't the only source of entropy they use, but it's added to some other random generator in the computer. I've just tested it on
https://www.bitaddress.org: without using my mouse (Tab many times to be able to type in the entry field), I filled it by holding the A-button. After that, I did the same again. As expected, this produced 2 different private keys.