Alas, this is yet another example of how hard it can be to help someone in another environment. There are so many variables to consider!
We run multiple operating systems in our shop, and have OpenSSL running on OpenBSD. That's why you see the "$" prompt at the beginning of each line -- this is the standard command prompt for a non-root user on OpenBSD. So, if you are running on Windows, you will need to reinterpret the command "cd /etc/ssl/CA/CA-DB", which simply changes to the CA-DB (Certificate Authority DataBase) directory.
Does OpenSSL run on Windows? I'm not sure... If so, then you would likely use the same or equivalent commands to generate and sign certificates in your Windows environment. Generating a certificate request can be done on pretty much any machine with OpenSSL; signing the certificate must be done on the certificate authority, or CA.
You know, I'm really not the right person to teach you about SSL. My initial response was prompted by your comment/question
benn600 wrote:I've tried OpenSSL but I have no idea how to get a .pem file out of this program?
...in response to which I offered exactly that: how to get a .pem file out of OpeSSL! Any further instruction is not only outside of the scope of this forum, but also outside what I can suggest without knowing your environment a lot better.
At this point you may wish to take your questions on SSL to a better resource: the openssl-users mailing list, whose archives and subscription information can be found on the OpenSSL Support page
Good luck, and I hope you get everything working! If you do and want to contribute back, a HowTo in the appropriate forum here would probably be aprpeciated by other users.