Police firing pistols drove the attackers away from the embassy, which was hit by several bullets but suffered minimal damage. No one was hurt.
Protesters in other world capitals demonstrated Sunday against the ongoing NATO operation, directing most of their anger at the United States.
No one claimed responsibility for the Moscow attack. Russia fiercely opposes the NATO bombings, and protests have been held at the U.S. Embassy since Thursday.
Russian news agencies cited police sources as saying three people had been arrested in the attack, but police officials would not confirm any arrests.
A white jeep pulled up in front of the embassy and two of the occupants aimed rocket launchers at the building, as shown in footage filmed by a passerby that was aired on Russia's NTV television network.
One gunman in a ski mask and camouflage fatigues, who had climbed out of the jeep to aim a launcher, jumped back in the vehicle when police opened fire. One attacker then opened fire from inside the jeep with a semi-automatic rifle, sending police and bystanders diving for cover.
The two rocket launchers were left on the road as the jeep sped away from the 10-story, mustard-colored building on a major Moscow street.
The jeep, which police said had been stolen, had special police force license plates, and was found abandoned near the embassy.
An embassy spokesman, who spoke on condition of anonymity, said no one in the embassy had been injured and that security was being tightened. Nonessential embassy personnel had been told not to come to the embassy over the weekend because of the protests.
The Russian government condemned Sunday's attack. President Boris Yeltsin's spokesman Dmitry Yakushkin said the shooting "throws a shadow on Russia, which is now making titanic efforts to mediate the crisis in Yugoslavia."
Scores of police and troops with automatic weapons ringed the embassy after the attack. A few hundred protesters also remained.
In September 1995, a masked attacker fired a rocket-propelled grenade at the embassy that exploded in an empty office. No one was injured and there was no claim of responsibility, but the attack came a day after the Kremlin accused NATO of genocide against the Bosnian Serbs.
In other protests Sunday:
In Sydney, Australia, about 7,000 protesters attacked the U.S. consulate. Some hurled broken pieces of concrete through windows of a shop and restaurant in the building where the U.S. diplomatic facility is located, and many compared President Clinton to Adolf Hitler.
One protester scaled two floors of the building and ripped down a U.S. flag, which was later burned by youths standing atop a bus shelter. Demonstrations also occurred in Melbourne and Canberra.
In Salzburg, Austria, about ,500 people carried banners denouncing the NATO air-strikes, waved Yugoslav flags and declared their support for Yugoslav President Slobodan Milosevic, the Austria Press Agency reported.
In Paris, riot police used tear gas to disperse about 300 Serb supporters who threw rocks and toppled security barriers in a demonstration in front of the U.S. Embassy.
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