Please remember that you must use Internet Explorer (IE) when signing a file.
The following types of files can be signed using Authenticode and a Code Signing certificate.
The Code Signing Certificate is currently for use with Authenticode only
Update March 2007:
.jar files can also now be signed (again only with Authenticode), however you will need the latest version of java installed so that you have the required roots to allow the certificate to be trusted.
See this article for the minimum required java version which included our root certificates: