Please try using this CVS snapshot:

  http://snaps.php.net/php4-latest.tar.gz
 
For Windows:
 
  http://snaps.php.net/win32/php4-win32-latest.zip

This is really a user error, but it's understandable given that the documentation for openssl is not very good.

So I'm making this a documentation problem, and will do something about that.

I think that a script like the following will be more useful to you.
I tried a few variations on this myself, and this is the one that worked for me.  I'm using the PHP 4.3 release candidate, but it should work just fine under 4.2 (there have been no significant changes in the openssl ext).

The openssl_*_export functions also have a corresponding openssl_*_export_to_file() function that will save the cert/csr/key to a file instead of a variable.

<?php
   error_reporting(E_ALL);

   /* You should fill in the gaps with your data; using my company name
    * is not going to be much use for you. */
   $dn = array(
           "countryName" => "UK",
           "stateOrProvinceName" => "Somerset",
           "localityName" => "Glastonbury",
           "organizationName" => "The Brain Room Limited",
           "organizationalUnitName" => "Research and Development",
           "commonName" => "Wez Furlong",
           "emailAddress" => "wez@thebrainroom.com"
   );

   /* generate a CSR and a new private key */

   $privkey = openssl_pkey_new();
   $csr = openssl_csr_new($dn, $privkey);
   debug_zval_dump($privkey);
   /* generate a self-signed cert */
   $sscert = openssl_csr_sign($csr, null, $privkey, 365);
   debug_zval_dump($sscert);

   /* save the CSR and CERT and private key */
   openssl_csr_export($csr, $csrout) and debug_zval_dump($csrout);
   openssl_x509_export($sscert, $certout) and debug_zval_dump($certout);
   openssl_pkey_export($privkey, $pkeyout, "mypassword") and debug_zval_dump($pkeyout);

   while (($e = openssl_error_string()) !== false) {
       echo $e . "\n";
   }

   exit(0);

   ?>

This bug has been fixed in CVS.

In case this was a PHP problem, snapshots of the sources are packaged
every three hours; this change will be in the next snapshot. You can
grab the snapshot at http://snaps.php.net/.
 
In case this was a documentation problem, the fix will show up soon at
http://www.php.net/manual/.

In case this was a PHP.net website problem, the change will show
up on the PHP.net site and on the mirror sites in short time.
 
Thank you for the report, and for helping us make PHP better.

I added more detailed information to the english manual.
It will be visible online (and in the downloadable docs) just as soon as they are rebuilt.