Creating a self-signed certificate is simple – when you know the correct commands.
First create the sertificate and private key
makecert -r -sv example-org.pvk example-org.cer -a sha1 -n "CN=www.example.org" -pe -len 2048 -sky exchange -eku 22.214.171.124.126.96.36.199.1
(specify some password, remember it)
Next combine the cert and private key to PFX:
pvk2pfx -pvk example-org.pvk -spc example-org.cer -pfx example-org.pfx -f
Now this should be good enough but its not. Apparently Azure is having some issues with the PFX files generate through the command line tool. A quick fix is to import the certificate to windows certificate store and then export from there.
To import, simply open the example-org.pfx from explorer. When importing, you need the password. Remember to check the allow private key export checkbox. You can use any store, but I used the personal one.
Once this is done, start up certmgr.msc and locate the certificate and export it (right click, all tasks, export). Remember to also export the private key. Set some password and remember it.
After this you can go to Azure Management and upload the certificate.