[Dave Canon]

There will be a logical reason for this. Has the system monitor been calibrated? What colour space is the picture being converted to? Assuming Colour management is on in CS2, what is the working colour space?. The Adobe Color Engine manages colour withing PS. However, if you view something just using Windows XP, then Windows colour engine manages the colour. I am not sure why you would use Proof setup>Monitor RGB unless this is the specific profile of a monitor elsewhere you wish to simulate.