When calling Chilkat.Socket.InitSslServer(Cert cert) - where do I get the certificate? I don't have any .PFX files - any suggestions? This is needed if the client sends a "CONNECT" request.
There are two ways to get an SSL certificate. The 1st is to create a self-signed certificate using either "makecert" on a Windows system, or via OpenSSL on Linux, Mac OS X, etc. (You could also use OpenSSL on Windows.)
also see http://www.virtues.it/2015/08/howto-create-selfsigned-certificates-with-makecert/
(also, Google the topics for potentially better sources of information..)
The 2nd way to get an SSL/TLS server certificate is via a certificate authority. Let's Encrypt has a system for getting free SSL/TLS server certs: https://letsencrypt.org/
Otherwise one can purchase SSL/TLS server certs from a certificate authority. For example, Google "buy ssl certificate" and you'll see lots of choices.