I am litle confused here, so I will give you my steps and settings.
I am using CS2 with camera Raw 3.7. so if you are on CS3 with 4.1 or 4.2 your settings might be a little different. But here goes.
In the Camera Raw dialogue, below the preview window, check the choose workflow options box. Choose Prophoto from the space dropdown. This will output the file to PS in the Prophoto color space.
In Photoshop, goe to edit>color settings>working spaces. Again, choose Prophoto as your working space. Below is a screen shot of my settings.
This is where I get confused. I quote"so that Prophoto that I have selected in the printer profile shows here" Are you trying to use Prophoto as your print profile?
For that you need to use your paper profile with color management turned off in the printer driver dialogue, or use"Let printer manage colors"
In a nutshell this is the way I have learned to work.
A site I would suggest is Computer Darkroom
. Ian Lyons has articles on color management in both CS2 and CS3 as well as printing from both of them. He tends to be a bit tedious at times but he is very thorough.
I hope this doesn't confuse you more but helps. Color management can be a bit of a quagmire but once you "get it" it works well.