roles for non-authenticated users?
Roles can be added to users who are authenticated users, which means they logged in. Anonymous users are only anonymous users; no other role can be added to them.

If you are just trying to show a page differently basing on the what selected from the anonymous users, then you can use a cookie to store a value that is used to alter the user interface. In Drupal 7 there are two helper functions that can be used to delete and save a cookie containing values for an anonymous user: user_cookie_delete(), and user_cookie_save().