The Camera        

The good news is that there isn't much to do here.  If you've delved into your camera manual and menu system and discovered something called a Colour Space or Colour Profile setting, then the chances are you'll have two choices called - sRGB or AdobeRGB.  Choose either one but if you want to know more about your choice then go here.  If you're a begginer then choose the sRGB option.

This picture below shows the menu setting for a Canon 400D and it shows the Colour Space option - currently set to sRGB.

These options only apply if you are shooting images that produce JPEG files.   They don't have any effect on RAW files.

Raw Format:  If you've managed to progress on to using your camera in RAW mode then the choice of colour space isn't valid at this point and your camera colour space settings are ignored.  RAW Images by definition are unprocessed and so the colour space they conform to is unique to the camera type.  When you process the RAW file, using something like Adobe ACR in Photoshop or Photoshop Elements, Adobe Photoshop Lightroom or the specific RAW S/W that came with your camera, then that is when you get to choose one of the standard colour spaces.