I figured out this problem. Just incase this trips someone else up. The oSession bit of code needed to be the first line after the OnBeforeRequest line. I don't remember where it was before but it didn't work. Example:
static function OnBeforeRequest(oSession: Session) {
oSession["https-Client-Certificate"]= "C:\\Yourcerfilelocation.cer";
//I omitted the standard code
}
Edit: OnBeforeRequest is a better method to place it instead of OnPeekAtRequestHeaders.