Kat393, That's actually pretty normal for greys to first get darker before they get grey.
It's also normal for a dark foal to be born very dun-looking, and that's most ovious with dark bays and black foals. A grey foal will usually be born without those typical foal markings and will have an 'adult' color.

Here's a good example of how a grey first gets darker before it turns grey.
2 days old:

4 months old:

3 years old:


And here's an example of a newborn (couple of hours old in the picture) foal that will definately turn grey:
img516.imageshack.us/img516/9581/dsc01326su1.jpg
A dark bay foal that will stay bay (notice the much lighter lower legs):
i153.photobucket.com/albums/s229/Rafunel/26.jpg