you chose edit - convert to profile (than you chose srgb), or if you dont have a colourprofile set (depends on your presettings) you chose edit - assign profile (then you choose srgb)
in CS4 you can add the profile in the save for web function, but as far as I remember in CS2 you dont have this possibility but you have to mark (check) the little "use embedded colourprofile" button (sorry i dont know if its exactly the same term, mine is in german) when you save for web