Making a new SSL certificate is not within the scope of Splunk documentation.
There are plenty of resources which will guide you through the process of creating a self-signed cert (although that does little for security), but the specifics depend on your operating platform. For Linux you would (probably) use openssl as the tool of choice.
The first I found by Googling "creating a self-signed certificate" "openssl" is here:
http://www.akadia.com/services/ssh_test_certificate.html
If you mean to create a properly signed and validated SSL cert, you need to follow your signing authority's instructions (which probably entail creating a key and CSR, and uploading the latter for signing).
