The colors I see on my screen are not the same as what prints out!

So you have a nice new shiny printer which can use CMYK color processing. CMYK is also known as four color processing.

And you wonder why:

The colors I see on my screen are not the same as what prints out.

Here are four reasons why:

You’re using an application which only supports RGB colors (typical application: Microsoft Word/Publisher/Excel/Visio).
Your printer needs to convert the colors from RGB to CMYK. This color conversion is not always accurate.
How your computer display (CRT/LCD) is setup.
Ever wondered why your display screen manufacturer shipped color card(s) with your monitor? Color print matching is a reason.
Your using a PCL print driver, and not the Postscript driver.
Postscript printer drivers are more accurate at page/color rendering.
PCL is faster, and not so good at page/color rendering.
Paper being used
Photographic-type paper behaves differently (better) to normal paper.

Solutions:

Use RGB if your printer driver supports it.
Match application colour types to output color process type (CMYK to CMYK, RGB to RGB)
Calibrate your computer display to the correct colors.
Use a Postscript driver if you have it.
Use RGB. Seriously. Use this color option if your printer supports it (almost most do).
Get a printing consultant in.
If you need to do this you’re likely to be a graphic designer, and know all about things like four color processing & PANTONE colors.

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