I'm having colors issue with RAW files (.CR2) from my Canon EOS.
The colors for both files RAW (.CR2) and JPEG are identical in Windows 10 preview.
I want to get the same colors in Photoshop RAW.
Why is wrong with Photoshop RAW ?
What you see in Windows preview of raw files is the embedded JPEG. Yes, each CR2 (and practically any raw format) has an embedded preview image in a standard format (nearly always JPEG), so that even regular software could show it without actually processing the raw data (which is a difficult job).
Sometimes this preview is just a thumbnail size, but on many Canons it's full resolution (but high compression and not really full sharpness).
Naturally, the colours in this preview are the same as in the JPEG file that the camera saves. It's really the same image, perhaps with different compression.
But when you start processing the actual raw data in the dedicated software like Adobe Camera Raw, the software 'redoes' the camera processing, invariably with a different result. This result may look, at first, 'worse' than what the camera did, but you have great potential to improve it with all the sliders you see.
It may be possible to achieve (almost) exactly the same output as the in-camera JPEG by using the manufacturer's (Canon's in your case) raw processing software, which is supposed to apply the same algorithm. But specialised software usually have greater flexibility and feature set. Adobe Camera Raw also has a 'profile' (the top combo box you see in the adjustments list) that more closely (but not exactly) emulates the in-camera colours.
What you should understand is that there are no 'right' colours from raw. What the camera does when writing JPEG and the preview is just an example, and it also depends on the in-camera settings. The camera often does a good job, but you can achieve more with dedicated processing of the raw.
There are many questions/answers here that discuss this difference, such as this one linked by Tetsujin.