Yep, because your self-generated certificate is not chained to a root authority trusted by default in IE/Firefox, you'll have to tell the browser that it's a from a valid source. This means a cert import on each browser who uses the cert (alternatively you can just live with the warning).
You can use Fiddler to perform a man-in-the-middle trace of your SSL traffic, but this requires letting Fiddler swap the cert, which means that you'll get a few warnings while browsing secure pages. That's the nature of SSL/TLS... it's difficult to intercept :)
I'm well-aware of how much wealth the Indian government has -- that's why I was flabbergasted that they wouldn't spring for a cert. Having worked with the US government in the past, I also know how difficult it can be to get anything done. Here's hoping that they *do* allow you the privilige of a shiny new certificate!
Brandon