I've just tried to do what you are after and managed to do it fine. Excel 2000.
I selected the Print Area, then went in to Print and clicked the Printer Properties. Then Features/Multiple Pages per sheet, selected 2. Then check the HP Preview. (I use a HP930C). Click OK and OK to print. The HP preview will come up and there is the 2 pages per sheet!
It is conceivable that there are similar details in the properties for your Printer.