Hey Gav,
In addition to what Michael has said, go to the PS menu: Edit > Colour Settings: Check that your working space is set out as in the attached screenshot. I have my proof set as Working CMYK - but as Michael said I set it to the relevant printer/paper profile when I am softproofing an image on screen.
Convert all web images to sRGB before you upload them, and be sure your browser is set up to recognised tagged and untagged images. In Firefox this sometimes needs to be turned on. See here