I'm not a legal expert, and I may be wrong on this, but I think that people in both Canada and the US have pretty near complete freedom of assembly, meaning that they can belong to any kind of club, organization, militia, or whatever they want. Unless I've missed my guess, it's the activity such groups undertake that gets thier members into trouble, not the simple membership itself. That said, I don't think that the style of militias in question here could really ever get off the ground in this country because our laws and their customary practices would not jive too well. They might be able to set up shop, but their regular Saturday night backyard flamethrower shoot/hoedown would land them all in jail pretty quick.
Or maybe I'm wrong. Actual lawyers please feel free to correct me.