I ran into the same problem and realized that it is by design that IE will prompt you for a printer. Otherwise someone could perhaps take control of your printer (well print out a ton of stuff anyway) just by you visiting there site.
My solution was to create a browser object from VB
as I was only using it internally (at an office) to automatically generate html confirmations and fax them. I could then overide the prompt. But for the web it's going to be difficult.