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The protesters try to block a highway to press demands for changes in the probe over the August 9 shooting death of Michael Brown.
More than 100 demonstrators have tried to block a highway and 35 people have been arrested in protests over the shooting death of Michael Brown in Ferguson.
The protesters sought to block Interstate 70, not far from where Mr Brown, an unarmed black 18-year-old, was killed by a white police officer, Darren Wilson, on August 9.
The killing sparked violent protests in Ferguson, a predominantly black suburb in St Louis, Missouri, and rekindled a debate on race across America.
Wednesday's demonstration was generally peaceful, but a number of protesters hurled glass bottles, rocks and bricks at police, officials said.
Four people were arrested on charges they assaulted police officers, while the others faced charges of unlawful assembly.
Some officers received minor injuries, St Louis County Police spokesman Brian Schellman said.
Police had told demonstrators not to enter the highway, warning protest organisers that it would be unlawful and dangerous to do so.
The protest was called to demand changes in the investigation.
Many in Ferguson are angry at Missouri Governor Jay Nixon's refusal to replace the St. Louis County prosecutor investigating the fatal shooting.
Prosecutor Bob McCulloch is the son of a police officer killed in the line of duty and critics are worried that he cannot impartially judge the evidence.
A grand jury is deciding whether Mr Wilson should be charged.