iPhones ironically are better at this than Windows Mobile devices. On windows mobile you have to install the self signed certificate manually. Now depending on what cetificate type this is it may be more or less complicated. If you're using the old style certificates (as in on server 2003) then all you need to do is export it from a web browser as a .cert an get it onto your BJ and tap on the cert file to install. I think with 2008 it may be the same but you may need a second certificate. Anyway here is how to do it with 2003 style:
http://technet.microsoft.com/en-us/library/cc747512(WS.10).aspxAlso it is well worth the trouble to get a trusted cert, as you'll heve less problems, you can get a free trusted level 1 cert from startssl.com