Thank you for all your replies which all helped me convert an illustrator layer to a shape layer and ultimately allowing me to to add extrusion depth and this is how i did it. (CC Version)
Step 1: Right clicked on the illustrator layer
Step 2: In the menu that appears selected “Create shape layers..”
Step 3: Went into geometry options and voila suddenly Extrusion depth is available 🙂
Grazie mille!