Trying to create a CSR with openssl, but openssl doesn’t know what -config is

Following this guide, I am trying to generate a csr file:

$ touch myserver.key
$ chmod 600 myserver.key
$ openssl req -new -config myserver.cnf -keyout myserver.key -out myserver.csr

but it gives:

unknown option -config server.example.com.cnf

But help also quotes -new and -config as valid parameters.

 -config file   request template file.
 -new           new request.