I suppse it depends, we need to know what kind of visa you are applying for and where, and what your situation is, really. If it's for a fiancee visa, I didn't have pay slips but had an official letter from his employer stating how long he had worked there, how much he made a year, that he was in good standing... and that was fine as far as proving he could support me financially. So that's all the advice I can offer right now, but let us know some more about your situation (and I'm sorry if you posted it elsewhere and I don't see it!) - and maybe some other people can pipe in with some advice.
Good luck though! And as far as the embassy being open, best bet is to just call them, even if it's after hours they'd probably have a recorded message saying when opening hours are, but it's best to call them directly rather than getting that kind of advice second hand.