Maximiliano,
In DevForce Classic, you can't directly add or remove items from the list returned by a navigation property. Fortunately, this ReadOnlyEntityList is actually a "live" list and will effectively monitor actions on the PersistenceManager for items to be added or removed. In your case, you should see new items in the User.Roles list when you create a new "UserRole" entity (and add it to the PM). I'm assuming that you have some sort of "UserRole" linking entity which contains foreign keys to the "User" and "Role" objects - so to add a specific role to a user you create a new "UserRole" object for that user.