Hi,
check these links:
http://www.pseudonym.org/ssl/ssl_cook.html
http://slacksite.com/apache/certificate.html
You can use certificates created with OpenSSL on Linux/Unix with Apache on Windows, so I'd suggest to create the certificates on Unix/Linux even if you want to use them with Apache on Windows.
The urls above also show what to add to httpd.conf in order to activate the certificate and they show you how to create a self-signed certificate for testing purposes.
Feel free to post if there are questions remaining.
Thomas