It's treating the image like one because it is just one image, not layered. You'll need to use the 'magic wand' tool and choose a setting that will only isolate the orange and click it. Alternatively since it's a pretty easy shape you can just draw round it on another layer and fill it any color you want. You'll have to put some effects on it to make it blend with the button. Easier still is just recreate it :D
Good luck
Lux