Where is makecert.exe? Updated answer for 2013
If you want to manage your Azure subscription using a self-signed cert, download Visual Studio 2013 Express (Free!) and makecert is included. http://www.visualstudio.com/en-us/downloads/download-visual-studio-vs.aspx
An alternative is to download the Windows SDK and installing only the .Net Framework Tools.
It takes Windows a while before it indexes your drive, so even after you install the tools, you may not find it from Search in Windows 8.x. In that case, you can navigate to the folders below, depending on which version of the Visual Studio/SDK you have installed.
C:\Program Files (x86)\Microsoft SDKs\Windows\v7.1A\Bin (win7 SDK)
C:\Program Files (x86)\Windows Kits\8.0\bin\x64 (win8)
C:\Program Files (x86)\Windows Kits\8.1\bin\x64 (win8.1)