Hi Kate.
You just have to set the camera to store RAW+JPEG. What Johant says is that If you set the camera to RAW only, the camera stores a little jpeg inside the RAW file just to preview the image in your camera with the color preset you selected (velvia, prove, chrome, etc...), but this jpeg is useless (and difficult to extract alone) for any other purposes, and when you import the images in Lightroom or any other app, you will only see the RAW file without any color preset applied. If you want the jpg file with the color preset too, you have to select RAW+JPEG.