I never ran into this issue with IIS as I usually install a Certificate Authority and do it that way, but I guess it might come in handy for personal websites and saving some money. Here are the details:

Create a self-signed SSL certificate with IIS 6.0 Resource Kit SelfSSL

The IIS 6.0 Resource Kit version 1.0 was released
5/30/2003. It contains a utility called SelfSSL.exe for instantly creating and
installing a self-signed testing certificate into IIS. The resource kit is
freely downloadable from the Microsoft website. Although the tool is intended
for IIS 6.0, it works just as well on IIS 5.1. It is so simple to use that no
instructions are required beyond the pointer to the download.

• Download
  IIS 6.0 Resource Kit Tools
• Install the resource kit (requires Windows Server 2003, Windows XP)
• From the Windows Start Menu, go to the "ProgramsIIS ResourcesSelfSSL"
  folder and select "SelfSSL".
• Instructions will be listed in a command prompt. Type "selfssl" to run the
  program.
• Type "y" to confirm overriding/installing the certificate on the given site.
• Test that it worked by visiting https://localhost/.

If you want hand-holding through these steps, read these instructions with
screenshots by Jonathan Maltz.

Microsoft has also provided Microsoft
Internet Information Services 6.0 Resource Kit the book for download
via their website in whole or chapter.

obtained from: http://www.somacon.com/p42.php