This isn't exactly an answer, but since I have the same problem, I thought I would post with an example.
First, in the photo below, the top half is a screen capture of a photo displayed using Windows Photo Gallery. The bottom half is a screen capture of the same photo displayed using Photoshop CS3. Both were displayed on the same monitor (a Samsung Syncmaster 216BW).
Notice that the top half has significantly more yellow-tinge than the bottom.
Here's where it gets weirder. I moved the same two applications with the same photo to my secondary monitor (an Optiquest Q19wb), and took screen captures again. Note that the difference between the top and bottom halves is much less.
It would seem to me that Windows Photo Gallery is trying to do something with the white balance based on the monitor profile? (BTW, Windows Live Photo Gallery does the same thing). If I use Paint, it looks the same as Photoshop.
I haven't imported this photo into Lightroom V2.x yet, but from experience, it seems to me that Lightroom is trying to do the same thing as Windows Photo Gallery (that is, it makes the photo look yellower on my main monitor).
Again, this is not an answer, but maybe provides more info on the problem?