Go to Menu > Configuration > Server Settings > Certificate Based Authentication.
Then import the .cer or whatever your using. You'll need to either restart the services on the ePO server or reboot the server for the change to take affect just FYI.
You should also review these McAfee support articles:
KB72511 - Internet Explorer prompts to choose a certificate when browsing to the ePO console
KB72477 - How to generate a custom SSL Certificate for use with ePO 4.6 using OpenSSL toolkit