Some very good information already in the existing answers so I'll try and avoid repeating it but here are some thoughts on how to position a morally grey character..

The Ends Justify the Means

If the aim is to write a morally grey protagonist that the reader still "roots for" a good way to achieve this is to differentiate between the "ends" and the "means". If their overall goal is something that the reader can get behind you can have the protagonist carry out some morally questionable actions in support of that goal. This can add a layer of depth and interest to the character and lead the reader to wonder if they themselves would do the same in the circumstances. Obviously this is a TV character but think about someone like 24's Jack Bauer, he kills and tortures his way through his days in service of the "greater good", which is an interesting ethical question for the viewer to ponder over and additionally in later seasons it's interesting to watch the effects this has on his psyche.

Good by Comparison

It's tricky to pitch correctly but if the morally grey protagonist is a saint relative to the antagonist or to their "victims" then the reader can root for them because the antagonist is so much worse, especially if the only people who suffer at the hands of their actions aren't characters the reader would identify with or see as morally good people. Take the titular character from Dexter, it's not morally right that he should go around killing people, and furthermore it's made plain that he's not doing so for any moral reasons (it's purely to satisfy his own needs to kill). The nature of the killers he murders is made out to be so much worse that the viewer can let themselves off the hook for rooting for him to succeed.

You can also combine this with the Affably Evil or Magnificent Bastard tropes - take the example of Locke Lamora and co. from Scott Lynch's Gentlemen Bastard Sequence books. The main characters are un-apologetically thieves and con-artists but the primary antagonists are usually much worse (mass murderers, tyrants etc) and the main characters' antics are written with style and humor so it's easy to want to root for them.

Even Evil has Standards

As 99.999999999999% of all humans ever to have lived are themselves morally grey establishing that a morally questionable character has limits to how far they will go is a good way to make them into someone the reader can relate to.

Oh that's why!

Characters on the darker end of the grey scale are more interesting when you can follow how they got there - even if the choices they made in response to things happening to them aren't the same ones the reader would have made as long as they are reasonable the reader should be able to identify with them.

This is also a great way to keep the reader interested in a character. Sometimes you want to introduce someone in a classically "Evil" archetype because the story needs someone to fulfill that role, but maintaining that over a longer arc is difficult without them becoming a bit one dimensional and cartoon-like. Exploring the reason's why they acted the way they did when introduced gives them more depth and allows the reader to see them as a properly fleshed out character rather than just a plot device.

It also leads to opportunities for..

Growth is good

Real people are almost constantly evolving in response to the people and events they encounter, to a greater or lesser extent obviously but there's always some change - and characters of any morality position should show the same behavior. 180 degree morality turns on a dime are unrealistic and often boring, as are "I used to be evil but I know better now" speeches. Nuanced changes over a proper arc are interesting however and can be highlighted by throwing up similar situations to those encountered early on and showing how their responses/choice differ.

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