First you need to understand how to set your Photoshop Color Settings! See: http://digitaldog.net/files/Photoshop_Color_Settings.mov
Next you have to decide how you want to handle images exported out of LR (either using Edit in Photoshop or Export dialog), set that, then when you follow how to correctly setup your Color Settings in Photoshop to preserve the embedded profiles, you’re set.
None of this has anything
to do with your display profile (you don’t set that in any of the above areas).