Colo(u)r Management is effectively the process whereby the colours values in an image can be used to produce consistent output on a variety of devices - monitors, printers, etc. If you don't know about it, it may come as a shock that the RGB values in a digital image can only be interpreted in relation to a given standard colour space. The default assumption made by Windows (and non colour managed applications like Internet Explorer) is to treat all images as being in the sRGB colour space, and whilst this may well be true for many digital camera images, its actually a quite limiting space that offers a very small range of colours from the total theoretically possible. Many photographers choose to work in a wider gamut space like AdobeRGB, which means their images look washed out when viewed in a non colour-managed application like Paint.Net.
Its a big topic, but here's a simple introduction to the basic principles:
http://www.drycreekphoto.com/Learn/color_management.htm
brian smith