SSL

I've been playing with a program called webmin for a couple of months now
but I haven't been using it on a production machine because of security
reasons. It now supports SSL so I've been playing with that a little more
too. I've used mainly RPM distrobutions to install openSSL and openSSH but
I couldn't get another component called Net::SSLeay installed with those
RPM'ed versions. I got the .tar.gz files and compiled them. I've got
webmin working through SSL too but it pop's up with a security warning about
the name of the security certificate not matching the name of the site. I
don't want to go out and buy a certificate. Can't I generate my own? Also
the openSSH that I compiled won't run the sshd daemon. It complains that it
can't find a file called ssh_host_key. Am I supposed to generate this key?
Any leads in the right direction would be appreciated.

Don