Windows explorer does not read embedded-ICC profiles.
I believe it uses window's own sRGB profile. Nor that I think browser can display ProPhoto RGB profile, sRGB for sure, and up to Adobe RGB I think.
ProPhoto RGB is a MUCH MUCH wider gamut compared to sRGB and even AdobeRGB colour gamut.
These differences are not much to worry on screen, but when its out to the printers, you must be careful, because ProRGB has much wider array of colours than printers can produce.
Try these:
Open in photoshop, go into Edit->Assign Profile, and select Adobe RGB or sRGB. The colour will change back to 'normal' and should be mostly consistent with both windows and
PS.
If, that all makes sense...
Edit:
I did few snapshots of how these relates...
This is ProPhoto RGB vs Adobe RGB
See how much wider (bigger) the colour gamut of ProPhoto RGB is compared to Adobe RGB?
Then Prophoto vs sRGB - You can hardly see sRGB gamut from this...
This is Adobe RGB vs sRGB (sRGB is smaller one)
As not all software can read and reproduce the embedded ICC profile, it is mostly recommended to use sRGB or Adobe RGB when uploading for web.