Select the text box - effects (or fx button in middle top of the frame) - bevel & emboss
Do you mean REAL embossed type, which is done with a metal die, or simulated embossing which is done with a visual effect using shadows and highlights on opposite edges?
Real embossing is done at the printers.
Cheaper option is Thermography
Printers can help you with the setup of the files.
Any other embossing effect is achieved with special effects.
Check with your printers for samples if you want real embossing.
The metal die method that Peter mentioned is called die stamping (or at least it is in the UK!). It gives a very nice effect but it's expensive.
The alternative is called Thermographic printing, which is fairly cheap. The effect is created by dusting the wet ink with a special powder and then the item is heated and this gives it a raised type effect.
Simulating embossing may be best done in a Photoshop, there are also a number of specialised Photoshop plugins such as Alien Skin's EyeCandy7: http://www.alienskin.com/eyecandy/