The SelfCert.exe file is installed from Office Setup, which you access through Control Panel.
So how do you get your own certificate? The tool to do it is officially called Digital Certificate for VBA Projects, but it's more commonly known as the SelfCert.exe file. It comes with Office, so all you need do is install it. You can then use it to create digital certificates.
Full steps on how to install and use the SelfCert.exe file are in the practice session.
It's important to remember that a self-signed certificate is only useful for you. It's not an authenticated digital certificate because it has not been approved by a certificate authority. Anyone else trying to open a macro signed with this certificate would get a security warning.