Can't create self signed certificate for RD Gateway

I'm trying to set up an RD Connection Broker for RemoteApp, but I'm getting an error when I try to create a self signed cert for the RD Gateway:

The self-signed certificate has been successfully created, but RD Gateway cannot store the certificate in the directory C:\Users\myuserid\Documents. Please specify a different directory, and try again."

I tried other directories, all of which I have full rights to, but still no dice. I can't find anything with this error. Any idea how I can get past it?

FWIW, I have no problem logging into this server through RDP.

Thanks.