New-SelfSignedCertificate to create certificate gives Access Denied

As mentioned in the comments, although PowerShell.exe is run under a user account with "Administrative Rights". The process cannot use those rights unless it is elevated.

PowerShell windows will add "Administrator:" in the title bar by default. Otherwise you can check if you an administrator by running this command:

([Security.Principal.WindowsPrincipal] [Security.Principal.WindowsIdentity]::GetCurrent()).IsInRole‌​([Security.Principal‌​.WindowsBuiltInRole] "Administrator")

When you launch PowerShell if done by GUI, you can Right-Click -> Run as Administrator.

Otherwise you can spawn a new process that is elevated by running Start-Process powershell.exe -Verb Runas

Create a certificate for your local user account by specifying a different certificate location:

New-SelfSignedCertificate -CertStoreLocation "Cert:\CurrentUser\My" [...]