As has already been said, there's a whole slew of things you need to make sure are set correctly before you print. I have the same printer, so here's what I do.
Go to File --> Print with Preview
Click Page Setup at the right.
Choose your printer in the "Format for" list, and your paper size in the "Paper Size" list, then click "OK".
Back in the Print with Preview window, choose "Color Management" in the drop-down menu underneath the preview of the print at the left. Make sure "Document" is selected in the "Print" section (I always make sure my document profile is Adobe RGB 1998).
In the "Options" section, choose "Let Photoshop Determine Colors" for Color Handling. For Printer Profile, choose the appropriate printer paper and black ink profile for the paper and ink you're using (for example, if I'm printing with Photo Black ink and using Premium Luster paper, the profile I'd use is "SP2200 Premium Luster_PK"). For Rendering Intent, nine times out of ten you'll want either "Perceptual" or "Relative Colorimetric". Most of the time they look very close, but sometimes you can see a slightly noticeable difference (you can check it before you print it if you do a soft proof on screen). Make sure Black Point Compensation is checked.
Now click Print.
Make sure your printer is selected at the top of the new screen.
Click the drop-down menu that says "Copies & Pages" and go down to "Print Settings". For Media Type, choose your paper again (in this example, Premium Luster Photo Paper). I usually then click "Advanced Settings" and make any other adjustments I want (none of which should have an effect on the color of the print).
The last thing you want to do is click the drop-down menu above from "Print Settings" to "Color Management". Make sure "No Color Adjustment" is selected.
After all this is done, then you can click Print, and that should get you an image that looks more like what you see on screen.
Hope this helps!