Colour calibration confusion

Hi,

Not being particularly technical, I'm struggling to figure out how to produce the same or very similar colours to those I'm using within my Corel Draw X6 files.  As an example, I've created a lovely graduated blue sky in CDX6 and it comes out looking a lovely graduated 'bluey-purple'!  Incidently, my set-up is as follows:

CD X6
Dell U2711 27" Monitor
Oki ES 9431 Digital Printer (SRA3 size prints)

I've heard about ICC profiles, but I'm not sure if this is where I should be heading calibration-wise (?)  Also, what should I be calibrating, the printer or the monitor and if so, how do I go about it.  Layman's idiot-proof language in step by step form would be much appreciated.

Should I also be trying to design in CMYK or RGB or doesn't it make a difference?  Any help gratefully received as this is making everything so difficult to get colours to match.

Tobe