What effects are you applying? And to what kind of image? Illustrator paths or a placed raster image? If it is a raster image, what format and color mode is it in?
Rob
Every effect should work in RGB mode. So most likely you are applying the effect or filter to an object that is not RGB. Are you perhaps trying to apply the effect to a raster image that was saved in indexed color mode from another application and then placed in Illustrator?
If so, and you need to run one of the raster effects that works on the actual pixels of the image (the ones that are "below-the-line" in the second group of pullouts), then you will need to save your image in RGB or HSB from an image-editing application.
If you are trying to run one of the vector effects, then most of them won't work on raster images at all. But you would not be likely to get a message about the plug-in not supporting "images in this color space" in that case; you would just get nothing happening. (For some of them you can get useful results by doing a Add New Fill followed by an Outline Object effect on that fill alone, followed by whatever vector effect you wanted to run.)