Alternatively, you can use IIS to create a cert and export it, or you can download open source program (a good one) called openssl - make sure to get the windows version.
here's an article on using openssl to create a certificate request - this can be done on a workstation/laptop or server.
http://blog.taragana.com/index.php/archive/openssl-how-to-create-self-signed-certificate/