I see from various newsgroups there is some confusion about whether AzMan works on Windows XP Professional. Well, in my experience it does - and here's how.
To "Authorization Manager" snap-in (and AzRoles.dll library), you can install the Windows 2003 Server Administrative Tools which are found here http://www.microsoft.com/downloads/details.aspx?FamilyID=c16ae515-c8f4-47ef-a1e4-a8dcbacff8e3&displaylang=en
If you need to develop using Visual Studio .NET 2003 or 2005, you will need to grab a copy of the interop Microsoft.Interop.Security.AzRoles.dll. Head over to your nearest Windows 2003 Server, and grab the interop from here: %windir%\Microsoft.NET\AuthMan\Microsoft.Interop.Security.AzRoles.dll so you can then add it as a reference to your project.
Here's hoping we see a "managed" AzMan library coming soon...