I'm completely new to Illustrator so might be asking something obvious:

I've drawn an object for a logo which is made up of a couple of joined paths and fill and stroke of the same colour.

I originally took this logo into photoshop and applied layer styles including inner shadow but was told i could apply the sanme effects in Illustrator.

Originally i was working in AI CS3 and when i went to go through the Effects>Stylize menu the only option i had was glowing edges, I asked the friend who told me to finish my work in AI rather than PS why this was and was told i needed CS4 or CS5, i borrowed a laptop with CS5 on and the same was the case, in the menu's, under Effect>Stylize i still only have the option for glowing edges.

As I'm a total newbie is this something i'm doing wrong, like not selecting the object or not adding a new layer to apply the effect to?  Although my understanding is is that if this were the case, the other options under Stylize would be visible but just greyed out and unselectable?

Please help, i can finish this design off in photoshop but the image is circular so if i can do it in illustrator and keep the quality and have it scaleable it would be much better, and from everything i read is just a much better working practice

thanks

Jason