About the colors, expect them to be lost. You will need to recreate them via materials. Not 100% sure about this but I would not be surprised. The conversion from AI to Blender happens via Blender's curves. From there you can select the object and press Alt-C to convert it to a Mesh. From there you can extrude it, etc.
I tried with some Photoshop CS3 presets and it worked fine. I used the option to scale it based on the height. You want to be sure that your AI file contains only the object that you want to import and that the object is a path, otherwise Blender might not find objects that are usable.
Hope this helps.
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Paolo Ciccone
Pret-A-3D
http://www.preta3d.com
http://www.paolociccone.com
