Open Terminal from the Utilities folder in Applications, and run the following commands:
openssl req -x509 -nodes -days 365 -newkey rsa:1024 -keyout Cert.key -out Cert.crt
openssl pkcs12 -export -out Cert.pfx -inkey Cert.key -in Cert.crt
You will be prompted to answer a few questions while creating the certificate request. Important fields include your country code, state or province, city, full name, and email address.
You will also be required to enter a pass phrase to protect the PFX file. Please refer to the online manual for instructions on loading the certificate onto the GoldKey.