Lightroom :: CS5 Colour Change When Saving To JPEG

In a nut shell if I use lightroom 3 only and print images the printed images look exactly the same to the monitor - therefore I would assume the calbration of the screen is okay.
 
If I use lightroom 3 and export to CS5 to continue making more adjustments when I save the image as jpeg it appears to have saved okay. However if you then maximise the photo to full screen the colours change - drastically. Basically they look aweful. They become quite dull and lose there saturation adjustments (which were done orginally in Lightroom). They print this way too.
 
I don't think it has anything to do with calibration because it's all okay when just using LR3.
 
I have played around with this quite a bit to try and find a solution and have now found that if I export lightroom to CS5 and don't make any changes to the photos but just save it - it's still changing the colours
 
I am not exporting from lightroom to CS5. All I am doing is selecting the Right clicking and selecting Edit in>Adobe Photoshop CS5.1....

Then in CS5 it opens and appears exactly the same as it was in LR From there I click file>save as>format Jpeg  and there is another box checked labelled - ICC Profile: Prophoto RGB (not really sure what this is and there are no other options to change it)
 
I have tried to show a difference in colour by attaching the photo.
 
Picture on right is Lightroom edited. Those colours are what you see when it is maximised on screen and the colours print correctly too . This photo was then opened in CS5 (photo on left) (with the LR adjustments) and saved as jpeg and you can see how the colours change. But you don't see the change unless screen is fully maximised - and it prints that way too.