If Someone still Use Sharepoint 2007 and want to use IN operator with multiple Conditions, You can achieve this like following,Here I used "OR" operator instead "IN"
string lCAMLQuery = "<Where>"
+ "<And>"
+ "<And>"
+ "<Leq>"
+ "<FieldRef Name='Enddate'/><Value Type = 'DateTime'>" + SPUtility.CreateISO8601DateTimeFromSystemDateTime(Dt) + " </Value>"
+ "</Leq>"
+ "<Or>"
+ "<Eq>"
+ "<FieldRef Name='Role' />"
+ "<Value Type='Text'>A</Value>"
+ "</Eq>"
+ "<Eq>"
+ "<FieldRef Name='Role' />"
+ "<Value Type='Text'>D</Value>"
+ "</Eq>"
+ "</Or>"
+ "</And>"
+ "<Includes>"
+ "<FieldRef Name='Menu'/><Value Type='Text'>Benefits</Value>"
+ "</Includes>"
+ "</And>"
+ "</Where>";