OK, for anyone finding this in the future, you need to create your certificates and sign them appropriately.
Here are the commands for linux:
//Generate a private key
openssl genrsa -des3 -out server.key 1024
//Generate Certificate signing request
openssl req -new -key server.key -out server.csr
//Sign certificate with private key
openssl x509 -req -days 3650 -in server.csr -signkey server.key -out server.crt
//Remove password requirement (needed for example)
cp server.key server.key.secure
openssl rsa -in server.key.secure -out server.key
//Generate dhparam file
openssl dhparam -out dh512.pem 512
Once you've done that, you need to change the filenames in server.cpp and client.cpp.
server.cpp
context_.use_certificate_chain_file("server.crt");
context_.use_private_key_file("server.key", boost::asio::ssl::context::pem);
context_.use_tmp_dh_file("dh512.pem");
client.cpp
ctx.load_verify_file("server.crt");
Then it should all work!
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