I'm using Illustrator CS5.1 and started a new document in RGB mode. When I change the color mode to CMYK under File->Document Color Mode->CMYK Color, the Color window in my workspace doesn't change from RGB to CMYK mode. I can change the RGB levels using the Color window but I want to change CMYK levels.
Open the flyout menu in the Color panel and click on CMYK. The Color panel stays in whatever mode it started in, or is switched to. This doesn't affect the color mode of the document or the color; it's just a different way of describing the color.
If you used RGB swatches in your document, you'll find that double-clicking on a swatch after switching to CMYK mode will bring up a CMYK dialog automatically, but even here you can choose any of the color modes to work in for that particular swatch.
There's a very important distinction between the document color modes many aren't aware of.
When you open an RGB document color profile, all the swatches, symbols, brushes, etc are RGB items.
When you open a CMYK document color profile, all the swatches, symbols, brushes, etc are CMYK items.
It's sometimes better to open a new document in the desired color mode then copy/paste you art to the new document. Especially if you are using symbols, styles, or brushes.