The default RAW image you see using the Canon DPP software should look exactly like the JPEG if you shoot in RAW+JPEG mode. DPP uses the camera settings as it's default.
I have no problem at all with oversaturated colors in 40D JPEGs. Mine look just fine.
It's hard to say what your problem is. I suspect it's probably not the camera if the RAW shots are OK. Perhaps it's the software you're using to view your images? As I said, it's really hard to guess at what's going on without more information.