Azure B2C - PFX for SAML applications

I am having trouble generating a PFX according to the document. 

I am trying to use Okta as the Idp and Azure AD B2C as the SP and following the Salesforce documentation. https://docs.microsoft.com/en-us/azure/active-directory-b2c/active-directory-b2c-setup-sf-app-custom

I may not have generated a PFX correctly. I tried the Powershell commands on Azure but it did not recognize the New-SelfSignedCertificate as a command and threw back an error. 

I've also tried to generate a PFX without a key and then I get an error when I test the application that said "no private key"

Then, I tried to create a key and PEM: 

openssl req -outform PEM -x509 -nodes -days 365 -newkey rsa:2048 -keyout newkey.key -out certificate.pem

And then used this site to generate a PFX: https://www.sslshopper.com/ssl-converter.html

And get this error after logging into Okta.  "AADB2C: An exception has occurred" Server Alert and no other details.