It's possible to assign differenet colour profiles for Photoshop, printers, scanners, monitors, etc. For Photoshop CS 5 you can do that under the advanced tab when choosing File, New, Advanced:
You should check what profile is assigned to your monitor, and in most cases, like yours, it should be the same as you choose for your new document. Hope this helps!
Also, have a look here: Photoshop CS5 Color Management