Tim,
This has always annoyed me too. Web pages are different to most computer files. Word, Excel etc are setup to be (usually) an A4 page (portrait or landscape) so whoever is typing in the document is constrained by the fact they are writing on "a page". Webpages, however, don't have that constraint and can be as wide as they are designed to be. The usual consideration when designing is how they look on your PC monitor, not when printed.
Internet Explorer is pretty dumb- you tell it to print portrait or landscape and it just does that- whether it runs off the page or not.
I have recently starting using a different browser,
www.firefox.com ,which has a feature on the Print Preview that let's you shrink the size of the text down to fit the page. It's still involves some manual tweaking, but it's better than Internet Explorer. Better still, Firefox is not copyrighted so anyone with the knowhow can create enhancements for it. Maybe someone will create an enhancement to automatically fit pages to paper in the future?