I think that the best quick results you're going to get in PSE are by creating a layer filled with one color. Then on a new layer create the shape to be embossed in the same color. Then add a Simple Inner Bevel. Make sure to click the "f" next to the shape layer and make the bevel very small (~2). Does that give you the close to the look you wanted?
Or are you trying to emboss a detailed image or photo? LMK and I'll take another crack at it.
