I've been plagued with this problem for a long time. A relative has snow leopard on a new iMac and when we tried to print them in Firefox, it always gave an odd save to disk first message. What I discovered today is that the download folder holds the downloaded files which get printed. Somehow, they'd lost their file association with an application. I double clicked it, and manually associated it with Adobe Reader. I could have done Preview, which might have been easier, but this worked ok. Now we still get the 'are you sure you want to open this internet content' message, but the labels again print. The nutshell: re-associate the filetype OR rename the file to add .PDF at the end.