On my campus they are using a website with certificate authentication.

This worked fine under KDE3 and still works with Firefox, but since KDE4 there is no way to access the page with Konqueror.
The web page always says something like: "Certificate not installed"

I've tried all types of configurations but with no success. So is this a bug in KDE4 or I'm the only one with this problem?

Custom Certificate support was not implemented in KDE 4.1, I think there might have been some work for 4.2, but I tested it shortly after the hard feature freeze and still got errors, so it has still probably not been fully implemented.

You can ask your campus sysadmins for the software cert bundle. Then you can import it from Settings -> Configure Konqueror -> Crypto -> Your certificates -> Import

I'm still learning about certificates and all the stuff.

So some questions:
The bundle is a .pem file, right? I can download this from the website of the sysadmins.
But under "Your certificates" I can only import my own cert (which is a .pfx file).
So I've imported the bundle under "SSL signers" but this doesn't help.

In Firefox I just import my own certificate and everything works fine. But I don't want to use Firefox :'(

You may need to add the appropriate configuration under "Authentication" in the "Crypto" module as well.

It should be the same (as it is same for me). I have my cert imported to access my university's portal which otherwise had the same security error. PFX is nothing but a personal information exchange file that in my case authorizes me to view the portal's content (with the help of credentials ofcourse).
Also, in my case, I have a .cer file which is a public cert, and a .pfx one which is a private cert. Though I just import my personal cert.

bcooksley wrote:You may need to add the appropriate configuration under "Authentication" in the "Crypto" module as well.

I try all possible configurations there but nothing helped.

I think I found the bug (or at least one bug), so I'm not the only one with this problem:
https://bugs.kde.org/show_bug.cgi?id=178806

Rettich wrote:

bcooksley wrote:You may need to add the appropriate configuration under "Authentication" in the "Crypto" module as well.

I try all possible configurations there but nothing helped.

I think I found the bug (or at least one bug), so I'm not the only one with this problem:
https://bugs.kde.org/show_bug.cgi?id=178806

I reported this one:
https://bugs.kde.org/show_bug.cgi?id=157771