First of all the most important thing is to calibrate your monitor. If your monitor isn't calibrated correctly, you can forget about the other stuff. To do that please use the "Adobe Gamma" tool which was installed into Start > Settings > Control Panel by Photoshop. Run its wizard and follow it step by step.
Secondly, select your defaults from Edit > Color Settings in Photoshop. If you mostly do web design, choose "Web Graphics Defaults", otherwise use one of the Prepress settings.
The Proof feature of Photoshop can be used to get a preview of how your image might look on other devices or when printed with a certain printer. I don't find it very useful, because it doesn't really work for my Epson printer. There are so many other factors that influence the look of the print. e.g. brand of ink cartridge, print mode or paper type, that you can forget about this option as far as ink jet printers are concerned.
To save me work, cost and time, I let a professional service do my prints. You usually also get better quality than with with a cheap desktop printer. And if they did a good job and you calibrated your monitor correctly, the print looks almost like what you see on your monitor.
By the way, the URL
works. I had no problem to access this page.
All in all, the many color management features that Photoshop offers are more interesting for prepress professionals. As a home users you should not bother too much about them. Just use the default settings and you will have no problems.