They were met by police in riot gear massing in front of the building of the sheriff, who likes to portray himself as a hard man and merciless hunter of illegal immigrants.
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The Associated Press reports that "dozens of people in Phoenix were arrested after peacefully confronting officers in riot gear."
At least eight protesters approached a police line and allowed themselves to be arrested. A group of about two dozen protesters then sat down in the middle of the street or refused to leave, and police arrested them as well.
Earlier, three people were detained at the courthouse after apparently entering a closed-off area. Former state Sen. Alfredo Gutierrez, who ran unsuccessfully for governor in 2002, was among them.
Arpaio said some 200 police and volunteers would be patrolling the streets on Thursday and warned that those causing disturbances will be arrested.
"All these protesters coming here from everywhere and the local critics aren't going to change the way Arizona or this sheriff will fight our illegal immigration problem," he said in a statement.
Hispanic groups, backed by the leaders of some Latin American nations, contend the new law will lead to racial profiling. Outside Arpaio's office demonstrators unfurled a huge banner reading "Arizona Human Rights Zone."
Officials in the state, which borders Mexico, argue the US administration has failed to secure the borders, and they are overwhelmed by illegal immigrants.
And Governor Jan Brewer, who signed the bill into law in April, was planning to lodge an appeal against a judge's injunction blocking parts of the legislation, vowing to take the fight to the Supreme Court.
A federal judge on Wednesday suspended the most contested parts of the law hours before it went into effect at one minute after midnight (0701 GMT).
Judge Susan Bolton ruled that sections handing police the power to check the immigration status of all suspected criminals and making it a crime not to carry proper papers were suspended.
She also temporarily froze a section making it a crime for illegal immigrants to solicit work -- a clause aimed at the queues of people who gather early every day waiting for employers to drive by and give them work.
Bolton found those sections would place a burden on legal resident aliens living in Arizona, where one in three of the 6.6 million people is foreign-born and an estimated 460,000 are illegal immigrants.
Arpaio also runs the Maricopa prison where inmates live outdoors in tents, even in hellish summer heat in this desert state, are forced to wear pink underwear and work in chain gangs of up to 20 people.
The Obama administration has filed one of seven legal challenges to the law being heard by Bolton, and she ruled it would likely succeed in its argument that the federal government has responsibility over immigration policy.
Lydia Guzman, an activist with Somos America, an immigrant rights group, said she felt validated by the ruling.
"We're going to continue do it, to work hard, until we get immigration reform," she said.
The row over the Arizona law has thrust the issue of the nation's estimated 11 million illegal immigrants once more into the spotlight, after a series of failed legislative attempts to bring them out of the shadows.
Recent opinion polls have found more than 60 percent of the US population supports the Arizona immigration law.
This video is from MSNBC's News Live, broadcast July 29, 2010.