The following info is a bit dated with the introduction of Photoshop 6.0+ but I am leaving it here more for technical interest than anything else. If you happen to have a copy of Photoshop 5 or earlier you can make the following techniques work to create an ICC profile from an existing 3rd party seperation setup. You will end up with a profile that has relative colorimetric rendering only but otherwise perfectly servicable in the new ICC/ColorSync world.
It has become almost obligatory to use ICC profiles in Photoshop when doing Mode changes from RGB to CMYK. Sometimes it would be nice to create an ICC profile from a separation setting so we can use it in an ICC workflow. It would be even better if we could "capture" a separation from some other application and turn it into an ICC profile.
ICC profiles are really just custom lookup tables with special features that allow them to be used by other software in a consistant manner. There is really nothing magically superior about an ICC profile over Photoshop's built in settings - it's just that Photoshop's built in separations have gotten a bad rap because the default color look-up tables (cluts, or sometimes luts ) that Photoshop has used in the past basically suck ! You can appreciate this very easily without going through expensive matchprint tests simply by evaluating an RGB test target with the eyedropper tool and reading CMYK values generated through Photoshop's standard separation set-up. It is particularly interesting to see how the default settings separate pure colors like 100% yellow ( RGB= 255 R , 255 G, 0 B )-- here we find in PS 4.0 values of C: 0%, M: 11%, Y: 87%, K: 0%, why not Y:100% ? and why so much ( 11% ) magenta ? and further, in yellow tones approaching white we find a fair amount of cyan pollution ( as much as 3% just shy of white or no dot ) Similar oddities appear in 100% magenta ( C: 39%, M: 66%, Y: 0%, K: 1% ) and 100% cyan ( C: 57%, M: 0%, Y: 26%, K: 0% ) These are the pure ink colors and they are rendered with a fair amount of pollution-- what happens to the other colors ? --Color lookup tables used for separating RGB to CMYK prior to Photoshop 5.0 contained assumtions about the colors represented by RGB numbers.These assumptions were loosely based on the monitor setup. Nowadays a conversion to CMYK has to involve two different lookup tables or profiles- one for the source and one for the CMYK destination. Assumptions about the original colors are contained in the source profile which is most often a more presisely defined RGB workspace. Most RGB workspaces do not contain colors that translate into "pure" CMYK ink percentages.
Early on, I became very enamored with the separations generated out of Live Picture because of the difficulty I had in adjusting Photoshop's separation settings. Since then my expertise in using the separation setup dialogs has improved, however, I'm still pretty lazy and reluctant to fix something that "isn't broke". I really prefered the Live Picture lookup table and I just wanted to use it in Photoshop. Fortunately, Adobe built in a method whereby one could capture any separation table from any other software. You can find this information in the technical notes folder on the Photoshop 3.0 Deluxe CD. Curiously, this info is missing in the 4.0 and later tech notes- BUT IT STILL WORKS - so I will outline the procedure below:
To create a clut for RGB-to-CMYK for use in Photoshop
- In Photoshop open the Lab Colors file located: Photoshop-> Goodies-> Calibration folder.
- Do: Image-> Mode-> RGB Color
- Save the file as a TIFF file, give it a name like PS_RGBcolors.tif
- In the color separation application of your choice, open the PS_RGBcolors.tif file and convert it to CMYK using the desired settings
- Save the file as a TIFF file, giving it a name descriptive of the separation settings ( i.e. LinocolorSWOPcoated.tif )
- Open this file in Photoshop and save the file in the Raw format using the following dialog box settings: File Type: 8BST, File Creator: 8BIM, Header: 0, Save Image In: Interleaved Order. Give the file an appropiate name ( i.e. LinoRGB-CMYK.table )
This creates an RGB-to-CMYK clut for use in Photoshop. To use this table select: File-> Color Settings-> Separation Tables... and use the Load button in the Separation Tables dialog box to open the new table. 
Now, when you do a mode change from RGB to CMYK Photoshop will use this new conversion table when it does the calculations. This forms the basis for the input half of an ICC profile which we will get to latter.
In order for CMYK colors to display with a reasonable RGB simulation on screen you will need to create a table for CMYK-to-RGB.