Ok, since my first example failed to inspire, let me try another one.
Think of a computer (I seem to be using the computer/brain quite a bit on this board lately. It is a useful comparrison from a philosophical point of view. However, just to avoid any confusion, let me just say the differences between the brain and any existing digital computer are enormous, it works as an analogy, similar to people comparing the orbits of the planets to clockwork - clearly the planets are not literally anything like a clock)
Anyway - think of a computer. It consists basically of a CPU and a memory. The memory is a whole bunch of transistors, each capable of holding a charge, or not (usually denoted as '1' and '0' respectively). Depending on the pattern of charges in one area of the memory (the 'instructions') charges in another area of the memory (the 'data') get manipulated in the CPU by being pushed through a complex maze of semiconductors. Though an over-simplification, this is more-or-less all there is to it when it comes to understanding the operation of a digital computer.
We now see a computer operator inputting an algorithm into the computer's memory as a series of charges (programming). Let's say, for the sake of the example, that the algorithm in question is
Euclid's Algorithm - an algorithm for finding the highest common factor of two integers. The computer operator now enters two numbers into the appropriate location in the computer's memory (also encoded as charges), and sets the computer in motion. Low and behold, a few nanoseconds later the HCF of the two numbers is retrieved from memory.
I am sure that we can all agree that there is nothing mysterious here.
However, if we started to reason about this pile of semi-conductors and electrical charges, if we are not careful we could easily make a category mistake and get ourselves terribly confused. For instance we might ask
how did the computer actually manage to get the correct answer to the problem of finding the HCF of our two numbers? At first we may answer 'because it executed an algorithm to do so'. But did it? Where is the algorithm? No matter how closely I look, I can find no algorithms, at all, anywhere in this tangled heap of semiconductors and electrical charges. All I see is silicon and electrons blindly following the laws of physics - as if they had any choice in the matter!
So there don't seem to be any algorithms involved here. In fact, algorithms don't even seem to be the type of things that could
possibly have
any effect on anything in the physical world - they lack any kind of causal powers.
So it seems our computer's ability to find the HCF of two numbers is deeply mysterious!
Hopefully it can be seen that this mystery is only due to our confusion. And I also hope that the source of our confusion is reasonably obvious.
But so too it is with the brain and consciousness. Roughy, from our analogy, Brain<->computer, consciousness<->algorithm. The algorithm is real (as is consciousness). However the algorithm is not something 'extra' that we will find in the computer along side the diodes and the transistors and the electrons. the algorithm is not something which shoves the electrons around in order for them to do its bidding.
I am reminded of the phrase "mind is what the brain does".