Yes, our examples for how to do things are based on OpenSSL. That's why it's recommended.
Any Windows binary for OpenSSL will do, as could OpenSSL on any platform. You can even uninstall it completely after you've generated a certificate.
If you want to use something other than OpenSSL, it just means that you need to find your own instructions to get the right certificates. I don't know what the right settings are to do it with IIS or any other cryptographic platform you could come up with.
If you look at your generated file, it needs to look like this.
-----BEGIN CERTIFICATE-----
Base64 string that you can share
-----END CERTIFICATE-----
-----BEGIN RSA PRIVATE KEY-----
Base64 string that you shouldn't share
-----END RSA PRIVATE KEY-----