I was having this same problem on my Dell Inspiron running XP. According to a Knowlege Base article (which I can't find at the moment), it was due to the printer driver I was using. HP is known to have buggy drivers, and I was using an HP5 driver. It turned out that I had to be connected to the printer too. If I uninstalled the driver, the problem went away. It also went away with the driver installed, but no connection to the printer. Unfortunately, HP didn't have a better driver available.

The problem hasn't occured on the machine I use now (a Toshiba Tecra M2). So I assume it was also some interaction between Windows, the printer driver and Dell's BIOS.