With IIS's self-signed certificate feature, you cannot set the common name (CN) for the certificate, and therefore cannot create a certificate bound to your choice of subdomain.
One way around the problem is to use makecert.exe, which is bundled with the .Net 2.0 SDK. On my server it's at:
C:\Program Files\Microsoft.Net\SDK\v2.0 64bit\Bin\makecert.exe
You can create a signing authority and store it in the LocalMachine certificates repository as follows (these commands must be run from an Administrator account or within an elevated command prompt):
makecert.exe -n "CN=My Company Development Root CA,O=My Company,
OU=Development,L=Wallkill,S=NY,C=US" -pe -ss Root -sr LocalMachine
-sky exchange -m 120 -a sha1 -len 2048 -r
You can then create a certificate bound to your subdomain and signed by your new authority:
(Note that the the value of the -in parameter must be the same as the CN value used to generate your authority above.)
makecert.exe -n "CN=subdomain.example.com" -pe -ss My -sr LocalMachine
-sky exchange -m 120 -in "My Company Development Root CA" -is Root
-ir LocalMachine -a sha1 -eku 1.3.6.1.5.5.7.3.1
Your certificate should then appear in IIS Manager to be bound to your site as explained in Tom Hall's post.
All kudos for this solution to Mike O'Brien for his excellent blog post at http://www.mikeobrien.net/blog/creating-self-signed-wildcard