This has been a real pain for me recently. At work we had previously got code signing certificates from a certificate authority called Thawte. But when it came time to renew, they have been totally unhelpful, slow and inept. We have spent a month dealing with them trying to get a renewed certificated with no joy, so they can now go shove a banana because we are going to sort out our own certificates.
There is a great step by step guide in this forum discussion on channel9 that will help you set up your own code signing certificate.
It's a fiddly process but worth it if all you need is a certificate to sign your code for use within your own network.