Ankur,
Yes, if you are generating your certificate using the process I gave you it will need to be installed on every iPhone. Personally I just email the certificate to myself and from the mail app on the device I just click on it to install it. Not perfect but much easier than the iPhone Configuration Utility.
The other option is to purchase a certificate from a trusted third party and use that on your server. Since the devices already trust certificates from the authority there is no need to install any certificate on the device. This has the downside of costing money for the cert.
The error 11 appears to be a different issue since to get to the Requesting public key you have already validated the server certificate.
--Bill