Welcome to the world of wide gamut monitors. This is just the current state of color management, but that monitor makes it jump out.
It says it's saving a profile that windows and all of my programs will use.
No, only a few applications will use it. In your case Lightroom and Windows Photo Viewer (but not in slideshow mode).
Important point: Windows itself doesn't do any color management. It just provides profiles for applications to use, but most of them will ignore the profiles and send the RGB numbers straight to the display. That includes Windows Explorer, which is responsible for the desktop. That will show over-saturated with the U2410, you just have to get used to it.
What happens when you calibrate is actually two things, calibration and profiling: First the display itself is adjusted to a few basic parameters (white point, gamma, neutral color balance). This is done in the video card and affects everything system-wide, and this is what is covered by the term calibration.
But then a monitor profile is made, which is a complete description of the monitor's characteristics in its calibrated state. The U2410's wide gamut is included in that description. But the calibration knows nothing about that. See?
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A special can of worms with wide gamut is web browsers. Internet Explorer is completely useless - it assumes the monitor conforms to sRGB (which it doesn't) so everything will be over-saturated. Use Firefox and set its color management to mode 1. Type about:config in the address bar and scroll down to gfx.color_management.mode.