For best results you need a "color profile" to match your monitor to the color palette / gamut / system / ... that you are using AND you want a color profile to do the same thing for your printer. Then you see on screen what the image should look like and your printer interprets this correctly. Both are necessary for serious work. If you set printer to screen and the screen is not correctly "profiles" YOU will see good results on screen and printer BUT your electronic images will probably not appear correct to anyone else.
There is more on web about this than you'd want to wade through, but it doesn't take much effort to get a good enough idea for practical purposes.
Some printer manufacturers provide formal profiles for their printers.
Here is an excellent introduction re ICC and ICM profiles and printers -
Understanding Printer Colour Management
Good Introduction to Icc Profiles and Their Use - monitors and printers.
An about.com tutorial - main value is in a number of useful links provided - Calibrate Your Printer
If you have money - Chromix
Adding a co or profile to Windows XP
Wikipedia - color management