CMYK (Cyan, Magenta, Yellow, and Black) are the colors used in the printing process, whereas RGB (Red, Green, and Blue) are the colors used by screen displays such as your monitor. Please note that JPEG files are almost always in RGB.
Your document should be created in CMYK mode so that the colors that you see on the screen most closely match the final printed product. If you create your document in RGB, the colors in your printed product may vary slightly. Many of the bright values produced by your monitor cannot be reproduced in print.