Where exactly you do this in the menu depends on your version of Photoshop. CS2 and earlier, it's in the Image menu, CS3 and later, it's in the Edit menu. You're looking for "Convert to Profile".
What program are you using to view your JPG and which color space is set to default in your RAW converter?
It sounds as if your default color space is a wide gamut space and you're viewing the jpg in a program that doesn't understand embedded color spaces (i.e. most browsers, many jpg viewing utilities, etc)