Jailbreak
Jailbreak is a tool for exporting certificates with their private keys, even if the private key was marked as non-exportable in the first place. Since auto-generated self-signed certificates usually have their private key marked as non-exportable, Jailbreak can become very handy.
First, download Jailbreak and extract it. Right-click “Jailbreak.exe” and select “Run as administrator”:
Jailbreak should now launch MMC (Microsoft Management Console) with the “certificates” snap-in. Unlike the regular console, this one will allow the exporting of private keys even if they were marked as non-exportable. To start the certificate exportation wizard, go in “Certificates (Local Computer)/Remote Desktop/Certificates”, right-click the certificate listed on the right, and then select “All Tasks→Export”:
This should launch the certificate export wizard. From this point, it should be the same as a regular certificate export. Follow the rest of the instructions in the Certificate Export article.