SSL handshake fails with - a verisign chain certificate - that contains two CA signed certificates and one self-signed certificate

I am stuck with a issue and trying to debug it. We purchased a Verisign certificate. When we use:

openssl> s_client -connect myweb.com:443 -showcerts

SSL Handshake never completes and at the end we see error:

Verify return code: 19 (self signed certificate in certificate chain)

It shows 3 ---BEGIN/END CERTIFICATE--- tags. Two certificates in chain are Verisign signed but one is self signed.

1. If someone can please explain how this self-signed certificate shows up in a CA signed certificate?

2. Is this error 19 (self signed certificate in certificate chain) benign? If not, what could be causing it?

3. Client has the CA certificate in trusted store but there is nothing for the self-signed certificate. Do you think that could be causing problem? If yes, how do I:

   1. How can I get rid of the self-signed certificate from the chain certificate leaving behind only 2 CA signed certificates in chain?
   2. Add this self signed certificate on client trusted store?