This post tells you how to install the key. According to Eric Lawrence, the program manager for IE Networking, "unlike on XP, you must click the 'Place all certificates in the following store' radio button, and choose the “Trusted Root Certification Authorities” store.  If you don’t do this, the certificate goes in your personal store, and it isn’t trusted by IE." 

This is cumbersome, he goes on to explain, but is there for a good reason: "Self-signed certificates are quite dangerous, because unless you manually compare the thumbprint/hash via secure or out-of-band communication, you have no assurance that your connection isn't being man-in-the-middle attacked."  In my case, I'm less concerned about a man-in-the-middle attack than connecting to my Exchange server.

What's most frustrating for me right now is that Vista seems to randomly "lose" the certificate. That is, after some time, I stop connecting again as if the certificate was never installed, and sure enough when I check the certificate store it's no longer there. The same thing happens with a private certificate for my school's wireless network (issued to a Cisco network device), and I know Alex is seeing similar issues. I wonder if there is a job that does some additional validation?

I've pinged Eric about this is - he said he hadn't heard of certificates going missing, but he was going to ask around. I'll keep you guys updated if I hear anything.