You need to use the makecert tool.
Open a command prompt as admin and type the following:
makecert -sky exchange -r -n "CN=<CertificateName>" -pe -a sha1 -len 2048 -ss My "<CertificateName>.cer"
= the name of your cert to create.
Then you can open the Certificate Manager snap-in for the management console by typing certmgr.msc in the Start menu, click personal > certificates > and your cert should be available.