http://www.microsoft.com/windowsserver2003/community/centers/terminal/terminal_faq.mspx Scroll to the bottom, there is a section on printing FAQ's
basically, don't try to setup any type of software-driven printer, like the lexmark's that have all the integrated processing software, or any type of multi-funtion scanner-copier-printer deals. the general rule is if the printer has a whole bunch of necessary software (as opposed to just a basic driver) it won't work.