I'm running Win98SE and a Lexmark and I've just pressed the Printer icon on the Internet Explorer tool bar and it works OK after about 30 seconds. I think it just needs time to think about it when you're on the net. Finished up with three pages of forum before I could stop it!
In my printer settings (File - Print - General) there is a Print to File box. If I tick it and apply it, and then select the Print button on the browser toolbar, it comes up with a box to save it. Couldn't be this, could it?