It could be one of several things. Usually, this is a sign of not enough printer memory (for laser printers). The whole page needs to be loaded into the printer's memory before it can print. Laser printers usually come with 256K - 512K of memory and ink jets can have anywhere from 2K to 64K.
One of the first things to do is go to the printers folder and see if you have the spool options set. To do this:
1. "Start|Settings|Printers", right click your printer,
2. Select "Properties", "Details" tab, and hit the "Spool Settings" button. See that you have "spool print jobs" selected. This will allow files to be sent to temporary disk space while the printer prints its first page.