I have successfully installed a self-signed certificate to Windows 7. The procedure was to install it first to the Trusted Root Certification Authorities (Local Computer) and then to install it to the Trusted People (Local Computer). (Without installing it to Trusted People Internet Explorer 11 was still issuing a warning that it cannot be verified up to a trusted certification authority).
I tried repeating the same procedure on a Windows XP machine (yes, they still exist even after their support ended:) without luck. I still get a warning the certificate cannot be verified up to the trusted certification authority. When I look at the Certificates Internet Explorer 8 shows me. The certificate itself is missing (although when looking in certmgr.msc, I can see the certificate). For some reason Internet Explorer chooses to ignore this certificate. Any ideas what's going on?