Edit-> Creative Suite Color Settings.
And yes this is in the Help files.
Ah but this is setting is only available if you have the
full creative suite. If you're "just" using PhotoShop CS5, this option is greyed out in Bridge. So I don't believe there is anywhere to specifically set Bridge colour settings, which I think would be a rather useful feature to have.
I had a similar issue just recently: had an image in ProPhoto (default PS working space) and so of course the profile was embedded in the file. When I displayed it in Bridge having saved and shut down the file in PS I noticed that the image was far less vibrant. I double-checked and Bridge was indicating that the colour profile was ProPhoto (I began to wonder if I'd inadvertently switched to a different profile somehow!). I did some experimenting in PS and I noticed that the if I converted the image to sRGB, the colours matched the thumbnail and full-size preview in Bridge.
My conclusion: Bridge doesn't seem to be fully colour managed (as I'd believed it was) and it defaults to sRGB. However, that said, I've not really noticed this with any other images... Perhaps I've just been lucky and this one stuck out because it was using particuarly saturated colours.
So does anyone know the score with Bridge colour management?
M