For anyone who arrives here via search, or just needs the solution
(Thanks in entirety to      Dominick Baier for the reply above.  His code
solved this problem entirely!)

In the Initialize function
(http://msdn.microsoft.com/library/default.asp?url=/library/en-us/secauthz/securi
ty/azauthorizationstore_initialize.asp)
if the flag is '1', it will create the file for you!

this is the code that is of importance from Dominick Baier's post.

private const int AZ_AZSTORE_FLAG_CREATE = 1;
IAzAuthorizationStore destStore = new AzAuthorizationStoreClass();
destStore.Initialize(AZ_AZSTORE_FLAG_CREATE, destUrl, null);

Thanks again!