I have, but I had to do this in three stages.
1) use a self issued but *not* self signed certificate. By that I mean create a CA certificate, and sign the CSG certificate with that.
2) import the CA (not the webserver) certificate into the browser
3) import the CA (not the webserver) certificate into the java keystore using keytooliui (
http://yellowcat1.free.fr/keytool_iui.html)
I don't know if the activex version of the client requires step 3, but I am on firefox, so needed it to make the java applet work.