This thread mentions that colour space aware software such as PS convert the image on the fly to match the colour profile of the monitor.
That would explain why normal image viewers don't show the correct colours when displaying adobe RGB images.
Raw files have no colour profile, that's one of the biggest advantages of shooting raw, the ability to choose colour space at any time.
As far as I know you can't just swap colour space on a JPG file, you need to convert using a suitable tool.