It's not as well documented as we would all like. In the Aministration component, find the role or group you want to add the priv to and right hand click Priviledges
Then for a process based priviledge like this one...
Modules/Change Management/Process Related Objects/Change/Closeure in the related object Column .. add read or whatever and that should do it.
Now you will have found this, but you will need to log out/back in *and* depending on your version you will need to iisreset or (better) recycle the application pool for the specific application (WebDesk or Console) in order for the mods to this priv to be picked up.