Thats because you need to set your default printer
What your doing is just pressing Print and not going through the Print Dialog.
Go to Control Panel, under Hardware and Sound Click Printer, it will come up with all the printers set up on your computer.
The one with the little green tick next to it is your default one, im guessing its next to Microsoft XPS Document Writer, right-click on your actual printer and click Set as Default Printer, this will hopefully sort you out