If he was interested in obtaining due process for himself (something his organization was not interested in as it was responsible for slaughtering thousands of innocent Americans BTW) - he could have walked up to the US Embassy in Yemen with his hands raised and tell the Marine he wasn't armed. They would have searched him and he'd have been just fine.
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Exactly, he could have turned himself in to the US Embassy in Yemen and he would have recieved due process, Anwar was not interested in due process he just wanted to kill Americans.
Okay ... I'm sucked in again and it's only 11:33 in the morning. Alright. Okay ... if I can stick with one post on this today, I'll be okay.

Here goes:
Why should he turn himself into the U.S. Embassy? There were no charges against him. On what grounds would he turn himself in?
And why would he want to turn himself in and commit his safety to a government which ordered him assassinated without so much as filing a charge?
Would YOU trust a country which put you on an assassination list without filing a single charge against you? Would you turn yourself into them - when they still hadn't said what crimes you committed but had already declared you worthy of death - and trust that you would be treated fairly?