To create a self-signed certificate in Windows 2003 you can to download the IIS 6.0 Resource Kit

Once installed, you can use the utility called selfssl.exe from the command line to generate a self-signed certificate for IIS 6.0.  The following are the options available when doing a "selfssl.exe /?" from the command line where the executable is located:  

Microsoft (R) SelfSSL Version 1.0
Copyright (C) 2003 Microsoft Corporation. All rights reserved.

Installs self-signed SSL certificate into IIS.
SELFSSL [/T] [/N:cn] [/K:key size] [/S:site id] [/P:port]

/T               Adds the self-signed certificate to "Trusted Certificates"
                 list. The local browser will trust the self-signed certificate
                 if this flag is specified.
/N:cn            Specifies the common name of the certificate. The computer
                 name is used if not specified.
/K:key size      Specifies the key length. Default is 1024.
/V:validity days Specifies the validity of the certificate. Default is 7 days.
/S:site id       Specifies the id of the site. Default is 1 (Default Site).
/P:port          Specifies the SSL port. Default is 443.
/Q               Quiet mode. You will not be prompted when SSL settings are
                 overwritten.

The default behaviour is equivalent with:

selfssl.exe /N:CN=SJCOPSAD01P /K:1024 /V:7 /S:1 /P:443

Alternatively, to get more information on how IIS 6.0 works and how to troubleshoot it, you can go to the following link:

http://www.microsoft.com/Downloads/details.aspx?FamilyID=80a1b6e6-829e-49b7-8c02-333d9c148e69&displaylang=en