Policies are assigned to profiles of users who are members of the groups that the policy is applied to.
You need to assign your users to roaming profiles in User Manager for Domains, Profiles Tab. This is simply done by creating a shared folder on a file server, and typing the location into the User Profile Path box (eg \\myfileserver\profiles\%username%).
You can then change the name of the ntuser.dat to ntuser.man for each user to make the profile mandatory.
Hope this helps