When your camera produces a Raw file it has also produced a jpeg "preview" that it embeds in the Raw file. It is this jpeg that you see when you review/play your images in the camera, and then the embedded jpeg is downloaded with the Raw file but it is not a separate file, just jpeg image data within the Raw file.
And, it's important to understand that this embedded jpeg is created using your in-camera settings -- the Picture Style with it's valuse for Contrast, Saturation and Sharpening, as well as White Balance, Noise Reduction, and other in-camera settings are applied. This gives that jpeg a "finished look".
You need to understand that ZoomBrowser is viewing the jpeg that the camera embedded into the Raw file, and also the Windows viewers are -- none of them are directly showing you the Raw data.
DPP is different. DPP will use your Raw data, but it uses your in-camera settings that create not just the embedded jpeg but also would be used to create a jpeg picture file if you shoot jpeg, but DPP reads those settings in the Raw file "metadata" and uses them to create a "jpeg-like preview" of your image. And so, your first preview in DPP is very much like your views in ZoomBroswer, as you have observed.
Lightroom, Adobe Camera Raw and other third-party Raw processors take a fundamentally different approach because Canon does not "share" the inner "secrets" of their in-camera settings. So Adobe and the others have developed the ability to translate the Raw data and produce/render their own image views, and to apply their own "flavor" to those images. With Adobe, the tendency is to be more "subdued" in things like Contrast, Saturation and Sharpening rather than start out as "strong" as your Canon "Standard" Picture Style. The Lightroom default is closer to the Canon Neutral Picture Style. In fact, if you set DPP (or your camera) to the Neutral Picture Style you will see a preview much closer to the Adobe default look.
Note that the Adobe Raw processors do have ways of altering that default look. In the Library module, you can click the Auto Tone button in the Quick Develop panel. In the Develop module you can scroll to the bottom of the adjustments area and there are Calibration profiles and you can choose a profile from the drop-down list, which will appy a "curve" that differs from the default, although I find that it still isn't as "strong" as the Canon variety. You can, by the way, have Adobe/Lightroom set a new Default using one of those profiles if you like.
So, the Adobe products start a bit more "subdued", leading people to complain about a "flat" look, but of course since these are Raw files one is free to operate on the Raw data.
DPP "sees" the same Raw data, it just uses the in-camera settings as the default. Of course in the DPP Raw tab you are also free to change things around.
I do enjoy using DPP for "quick" conversions -- in other words if I have shot some things that I would be happy with the in-camera settings I can, maybe with a little tweaking, do a quick conversion to get a useful jpeg from DPP.
But, for my "real" editing I do stick to Lightroom. It's pretty quick for me to get a good "look" that I can then apply to a batch of photos so they share the same "starting point". And, I'm not in the habit of comparing these images side-by-side with DPP previews!
I hope this helps. This gets asked pretty often by people new to this stuff. Please take your time!
