Do you have a calibrated monitor? If no, you are not able to judge your images by what you are seeing! For Photoshop users a calibrated monitor is a must!
Do you images have a color profile embdded? If no, Photoshop takes the default profile from your program color settings. Which color profile do your image have.
I suppose that the images in Windows are shown without respecting any color profile or are supposingly taking all images are sRGB. So the saturation in Photoshop will be more accurate than what is Windows showing.
That's a bad monitor profile. Can you check Windows Update and see if you got a monitor/display update about the same time?
When I open my images in Adobe Bridge, the thumbnails look as they should then the color desaturates
That's when the monitor profile kicks in.
When I open the images in ACR and CS5, the problem continues.
These applications also use the monitor profile.
If I view the images in Windows or online, they appear correct.
Here you have to be more specific. Windows what, exactly? Windows Explorer? Windows Picture Viewer? Online what? Which web browser are you using? The thing is that some of these are color managed and will use the monitor profile, some are not and will just ignore it.
The only workaround is if I choose view..proof setup...monitor RGB in PS.
That bypasses the monitor profile and disables display color management completely. So that's why it makes the problem "disappear". Actually you're just hiding the symptom.
Here's what happens, just to put this in context: When an application is color managed, the embedded document profile is converted, on the fly, to the display profile, and the RGB values thus corrected are sent to the display. The process is very direct and pretty simple, and follows the general template for all color management processes: source profile > destination profile. For this to work, all that's required is that the display profile is an accurate description of that particular display. If it isn't, it won't display correctly.
Without color management, the original RGB values in the file are just sent unmodified straight through to the display.
EDIT: That's the standard scenario. There's an alternative one, if you have a wide gamut monitor. In that case viewing without full color management will inevitably result in an over-saturated image. Some people can get used to that and assume it's supposed to be like that, which it actually isn't. So just to rule that out - what exact monitor model do you have?