You'll need a config file for OpenSSL.exe. Here is one (right-click on it and "Save as..."). (There is an openssl.cnf in the distribution with different wording of some questions, but it should do it, too.) Copy it to the directory openssl.exe is in.
(This is a normal text file. It is really called so; however, some Windows versions insist on hiding the extension from you. You can edit it with Windows notepad or a good editor, but it shouldn't be necessary.)

openssl req -config openssl.cnf -new -out my-server.csr
This creates a certificate signing request and a private key. When asked for "Common Name (eg, your websites domain name)", give the exact domain name of your web server (e.g. www.my-server.dom). The certificate belongs to this server name and browsers complain if the name doesn't match.

openssl rsa -in privkey.pem -out my-server.key
This removes the passphrase from the private key. You MUST understand what this means; my-server.key should be only readable by the apache server and the administrator.
You should delete the .rnd file because it contains the entropy information for creating the key and could be used for cryptographic attacks against your private key.

openssl x509 -in my-server.csr -out my-server.cert -req -signkey my-server.key -days 365
This creates a self-signed certificate that you can use until you get a "real" one from a certificate authority. (Which is optional; if you know your users, you can tell them to install the certificate into their browsers.) Note that this certificate expires after one year, you can increase -days 365 if you don't want this.

If you have users with MS Internet Explorer 4.x and want them to be able to install the certificate into their certificate storage (by downloading and opening it), you need to create a DER-encoded version of the certificate:
openssl x509 -in my-server.cert -out my-server.der.crt -outform DER

Create an Apache/conf/ssl directory and move my-server.key and my-server.cert into it.