Hi Mark
Colour management is a big topic, and it takes a lot to get your head around it. I am certainly no expert, but am reading widely in an effort to get it right.
Calibrating your monitor, and having its own display profile is vital, so well done on making this important step. Like you, I use the Spyder, and a hardware based calibration tool is ever so much better than visual tools, like Adobe Gamma.
Once you've calibrated and created a profile (and this probably needs to be done every 2 weeks or so), this should become your default display profile under your OS.
In Photoshop, you set a working space for RGB, and this should be a space with a much wider gamut than your monitor display profile. Certainly your S2 Pro can capture a lot more colours than your monitor can display, and you don't want to lose those, especially if you later send images for printing or other purposes.
In its own engine, Photoshop knows that you have a different display profile than your working colour space, and it deals with this, ensuring that there is integrity. It translates on the fly, so you get colours that are true to what you would see, but don't lose the full gamut of colours captured.
When you print, the printer has its own profile again, and again Photoshop will make the conversion.
Interestingly, most desktop printers have an even more limited gamut than do monitors, but not necessarily the same colours are lost. Thats why you work with a wide gamut space for a working space, and let the software do the conversions based on the profiles of the individual devices you work with.
Anyway, I reserve the right to be wrong about some or all of this, but this is my understanding of a complex topic.
Thom Hogan's book will get you started in the process.
Good luck
Des