One thing that seems to be confusing for the newer GP-practitioner is what GPMC version should I use?
The answer: Always the latest one.
That one, right now, is the GPMC for Windows 7 or Windows Server 2008 R2.
Those are equal in their capabilities.
You can install the Windows Server 2008 R2 as a feature of the operating system using the Server Manager utility as seen here.
You can install the Windows 7 GPMC by installing a downloadable piece called RSAT Remote Server Administration Toolkit.
That RSAT utility is found here, and note.. there are 32-bit and 64-bit versions.
Once installed (and it takes a while) you can install the GPMC in the Turn Windows features on or off as seen here.
Then, run GPMC.MSC, and you'll be off and running using the GPMC console !
By using the latest GPMC, on either Windows 7 or Server 2008 R2, you'll always have access to the latest abilities. Like GP Preferences, or creating AppLocker policies.
So, if you're using the old XP GPMC, get on board with the latest, greatest GPMC. You'll be happy you did !