Preview what your image will look like in a different color space (like CMYK). This is usually referred to as soft proofing. The image isn’t converted to CMYK but displays on your monitor as it would look like in CMYK. The advantage is that you don’t have to destroy your color data to see what a printed version might look like.
This is accomplished through the main menu Image > Properties. Again, this does not change the color model from a data standpoint. If you are sending your artwork to print, you must use Image > Convert Image Color Space from the main menu to change your color data to CMYK.