PositiveSSL certificate keeps giving the untrusted issuer warnings in browser

[Ian Evans]

Since I'm working on a Facebook app, the self-signed certificate I 
created for SSL access to my admin area is no longer useful.

I grabbed a PositiveSSL cert from Comodo, but after following the 
instructions here ( http://kbeezie.com/view/free-ssl-with-nginx/2/ ) but 
still get the untrusted or self-signed warnings.

This page 
(http://www.digicert.com/ssl-certificate-installation-nginx.htm) seems 
to suggest I have to concatenate several crt files together.

This is what Comodo sent me:

AddTrustExternalCARoot.crt
PositiveSSLCA.crt
UTNAddTrustServerCA.crt and
www_example_com.crt

Do I need to concatenate all of these?

Also, just curious why do some example sites I've seen say Ngix needs a 
pem file and others say a crt?

Thanks!