I don’t know whether you have Windows Vista, which uses the new Windows Color System (WCS), or Windows XP, which uses the Image Color Management (ICM, which is also in Vista), but either way, both systems use profiles. So it’s not a question of using profiles vs. Windows color management because Windows is using the same exact profiles that you’re selecting in Lightroom.
Other than a physical problem with your printer (bad cartridge, clogged head) there are no inherent technical faults in color management what would cause your colors to be off. Color Management works. Your printer works. Therefore, if your colors are off then there’s something wrong with your settings.
As I said before, color management can get messy real fast because every piece of software is doing its own thing. If you changed a setting in Lightroom, but didn’t adjust your printer’s color management options, then I can pretty much guarantee that the problem is with your settings.