One of the issues from the original Wiki was in Step 1 he used 'server.key', then in step 2 it was server02.key; I was pretty sure they should have been the same...
Are you setting environment variables for OpenSSL? I think that I had to add 'set RANDFILE=.rnd', but then later got another error, so added 'set OPENSSL_CONF=c:\OpenSSL-Win32\bin\openssl.cfg'.
Did you have to make any changes to the supplied openssl.cfg file?
And finally, did you just run everything from 'C:\OpenSSL-Win32\bin'? Then copy out the files you needed?
Thanks for the direction! It looks like I was on the right track - but didn't want to submit & pay for the certificate only to find out I had it all wrong!