I created a self-signed certificate and a client certificate using this tutorial and the makecert.exe tool:
http://msdn.microsoft.com/en-us/library/ff647171.aspx
However, when I go to MMC and try to import the certificate in the Trusted Root Certificate Authorities, I have no clue where to locate the .cer file.
Where does the makecert.exe tool save the certificates it creates?