Now we get into the tricky part of color management. If you have an image that looks great and colorful on your screen you should have a look at how it'll look when you print it . . . using a printer profile give you the ability to get a very good idea of what the image is going to look like when it's printed.
All of our cameras WILL capture more than your screen can reproduce. The screen WILL reporduce more colors than what virtually all of the printers (that we can afford to use!) can produce.
When you soft proof, you'll see where the colors drop off and what'll happen to your contrast etc.
I wrote about this in great detail a while back.
Please read:
On Color Management and Workflow
Microsoft Color Control Applet (Windows) Great for installing and managing profiles.