Is the layer locked? Look on the Layers Palette and see if a lock icon is present.
If so, if you look on the Layers Palette just under the blending modes you’ll see 4 small icons, next to the word "Lock:’ 1) A checkered square, which locks the transparent pixels; 2) a Paintbrush, which locks the image pixels; 3) A cross with arrowheads, which prevents you from moving the layer contents; and 4) a (ta-da) Lock, which locks everything on the layer and makes it completely ineditable.
The Lock icon is the only setting that will prevent you from being able to edit your layer effects. Just click on that icon to remove the lock from your layer.
Hope that solves the problem.