Photoshop question

I am still relatively new to making icons so forgive me for this ridiculously stupid question...

But, I have just signed up for an icon challenge comm and one of the challenges is to create icons using one of the effect feature from the Effects menu in Photoshop. But ... I cant see any effects menu. Am I just blind (and if so can someone point it out to me)? Do they mean the filter menu? Help please!!