Emboss Effect Makes Gray Shape

I'm sure you'll all tell me if this has been asked before, but I'm getting a gray shape with red and blue outlines when I apply the emboss effect to a shape cut and pasted into Photoshop CS from Illustrator CS.

The shape is a simple brown rectangle with a curved bottom. It turns gray when I apply the effect. Other effects and filters work fine. Any ideas?

Assuming you mean Filter > Stylize > Emboss, it's working fine.

From the Help file;

Emboss Makes a selection appear raised or stamped by converting its fill color to gray and tracing the edges with the original fill color. Options include an embossing angle (from –360° to recess the surface, to +360° to raise the surface), height, and a percentage (1% to 500%) for the amount of color within the selection. To retain color and detail when embossing, use the Fade command after applying the Emboss filter.