There are a few things you can try.
Use the image's embedded color profile for the screen preview:
-- In the Save for Web dialog box, select a version of the image,
and choose Use Document Color Profile from the Preview menu.
or
preview the image in the monitor's RGB color space by doing one of the following:
-- Disable color management in Photoshop, and discard any color profiles embedded in the image:
1. Close any open Photoshop files.
2. Choose Edit > Color Settings.
3. Choose Color Management Off from the Settings pop-up menu, and then click OK.
4. Open the image in Photoshop. If the Embedded Profile Mismatch dialog box appears,
select Discard the Embedded Profile (Don't Color Manage), and then click OK.
-- Proof the image in the monitor's RGB color space in Photoshop:
1. In Photoshop, choose View > Proof Setup > Monitor RGB.
2. Make sure that View > Proof Colors is selected.
3. If you want to preview the image in the Save for Web dialog box, select a version of the
image, and choose Uncompensated Color from the Preview menu. (Save for Web uses the last chosen preview setting.)
Here is an very well done explanation of Color Management Profiles.
Color Management and Windows: An Introduction