For creating a working key for IIS Server you need to create the key in IIS Manager Console.
1. Create a new Certification Request in IIS Management Console for a specified website.
2. The newly created Request has to be signed now. Therefore you can use some Certification Authority (CA) like Thawte or VeriSign, they also provide temporary certificates for testing purposes.
It is also possible to do this step by yourself by using "IIS 6.0 Resource Kit Tools".
3. Take the whole text from Certification Request generated by IIS and copy it into the enrollment form for CA and select the format (in this case IIS 5.0 or 6.0)
4. Now a certificate will be generated by the CA you can store in a *.cer file.
5. You can take this file now and assign it to the pending request on IIS and the SSL authentification should work.