OpenSSL Verify return code: 20 (unable to get local issuer certificate)

I am running Windows Vista and am attempting to connect via https to upload a file in a multi part form but I am having some trouble with the local issuer certificate. I am just trying to figure out why this isnt working now, and go back to my cURL code later after this is worked out. Im running the command:

openssl s_client -connect connect_to_site.com:443

It gives me an digital certificate from VeriSign, Inc., but also shoots out an error:

Verify return code: 20 (unable to get local issuer certificate)

What is the local issuer certificate? Is that a certificate from my own computer? Is there a way around this? I have tried using -CAfile mozilla.pem file but still gives me same error.

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