It's not the responsibility of the client to do that. See section 21.4 (Security - Deployer's responsibilities) and section 21.7 (Security - System Administrator's responsibilities) of the
EJb 2.0 specification.
Basically, roles, groups, principals, etc, are configured when an enterprise application is deployed (or sometimes at runtime), the client doesn't have to do anything, he just keeps invoking methods and the EJB container will look up if the given user is allowed to invoke it.