Here's an interesting one if you are not in the USA and still using IE 6. In Control Panel, go to Date, Time, Language, and Regional Options and then Regional and Language Options. In the Regional Options tab choose English (United Kingdom), click customize (yeah, note the z) and ensure measurement is metric, now on the Advanced tab set the "Language for non-Unicode programs" to English (United States).
And finally, go to IE, then page setup - note that your margins are wrong. Print preview and they are badly wrong and print and they are badly wrong (essentially it is taking a cm margin as inches, so 2cm margin gives a 2 inch margin). Put the Advanced tab setting to Enlish (United Kingdom) and all will be well.
This problem seems to be fixed in IE7.
[update - fixed a couple of typos <sigh>].