Steps to create self signed certificate on Windows:

1. Open visual studio Developer Command Prompt as administrator  
2. Execute below mentioned commands in sequential order. It will create a certificate with SHA.256 algorithm.You can modify parameters as per your requirements.
   Command format:

   makecert –a SHA256 -sv SAMPLE.pvk -n "cn=SAMPLE" SAMPLE.cer -b <start_date> -e <end_date> -r

   pvk2pfx -pvk SAMPLE.pvk -spc SAMPLE.cer -pfx SAMPLE.pfx

   Example:

   makecert –a SHA256 -sv "C:\Sample.pvk" -n "cn=Sample" "C:\Sample.cer" -b "10/22/2018" -e "10/22/2019" -r

   pvk2pfx -pvk "C:\Sample.pvk" -spc "C:\Sample.cer" -pfx "C:\Sample.pfx"

3. Install the pfx file for current machine or current user as per requirements

References:

1. https://docs.microsoft.com/en-us/windows/desktop/SecCrypto/makecert
2. https://docs.microsoft.com/en-us/windows-hardware/drivers/devtest/pvk2pfx

UPDATE: (April 15, 2019)

Use this powershell command to create self signed certificate as MAKECERT command has been depretiated.