This is because of your "white balance" setting. The basic problem is that the camera can't tell the difference between a red thing with a white light on it, and a white thing with a red light on it. They just look red. So the camera makes some assumptions about the color of the light in the room, and attempts to reproduce the scene as best it can.
It's not always right. Outdoors in the sun, it works very well. But get it indoors under incandecent lights (those are the good-old Thomas Edison-style lights), and suddenly everything looks a lot more yellow than you remembered!
Most cameras come with a variety of while balance settings, often including Auto (camera makes best guess), Cloudy, Sunny, Fluorescent, Tungsten, and so on. The best thing to do is to cycle through them and look at the result on your preview screen. Choose the one that looks the best and shoot with it.
IMPORTANT: Don't forget to set it back to Auto when you're done!! Many pictures are butchered because people set the white balance and then forget about it.
You can fix the white balance in Photoshop, but it's better to get it correct on the camera.,
Some cameras go farther than the preset white balances; they allow you to set Custom white balance. Basically what you do is point the camera at something you know is white (like a piece of white card that you bring with you for just this purpose, or any old white thing you have laying around), and tell it to use this color for custom white balance. The camera says, "Ok, you're telling me this thing is white. It looks a little yellow to me, but you said it was white. So I'm going to subtract all that yellow out of the scene for you."
This gives custom white balance pictures a much more natural feel than non-white balanced pictures. In fact, looking at them in retrospect, they might even look too natural!
Cameras differ in how they set custom white balance. On some of them, you have to point it at something white and hit the custom white balance button. On others, you have to take a picture of something white and then tell it to use that picture. Check your friendly user manual (a very exciting read, I'm sure) for your camera-specific details.
Again, DON'T FORGET to set the white balance back to Auto when you're done. But you're going to forget anyway. We all do from time to time.