You are trying to generate a self-signed
certificate for a SQL database service, after creating the CSR from IIS you try
to Complete the CSR request and receive the following error "Cannot find
the certificate request that is associated with this certificate file. A
certificate request must be completed on the computer where the request was
created."
The fix here is to open the Certificates MMC
under the Local Computer. Expand Certificate Enrollments Request and then
Certificates.
Right click and select the Properties of the
certificate request that is present. Now populate the Friendly Name field and
click OK.
From there click Copy to File..., run through the
wizard and ensure you tick the box to export the private key. This will
generate PFX file with the public/private key contained within.