XPSSecurity should be in installation/bin, if its not there, you find it under the directory where you have extracted the .zip you downloaded for policy server.
run XPSSecurity without options
it would bring up menu, select new admin
create the admin
then go to adminui,
under adminstrators, look for configuration... follow the steps to move the admin to external store
How did you configure your policy store?
use smconsole to check whether you are able to connect to the policy store. If you are able to open jxplorer, under policysvr4, you should be able to see SmAdmin4, which should have a GUID starting with 12...