A self signed certificate is a certificate that is signed by itself rather than a trusted third party. This means you can't verify that you are connecting to the right server because any attacker can create a self signed certificate and launch a man-in-the-middle attack.
Visitors will see a warning in their browsers when connecting to an IIS site that uses a self signed certificate until it is permanently stored in their certificate store. Never use a self signed certificate on an e-commerce site or any site that transfers valuable personal information like credit cards, social security numbers, etc.