There's no simple correspondence between an applet's contents and HTML so it can't be converted. An applet can be made to print, however - it's just that the applet has to be signed. This is a security precaution so that rogue applets that print obscene pictures on 3700 pages can't be let loose indiscriminantly on the Internet.
A common alternative is to send the data that you want back to the server that the applet loaded from and have a
servlet or
JSP construct a printable page either in HTML or PDF form. That page can then be printed via the browser File/Print menu command. This isn't quite as convenient as printing straight from the applet, but sometimes you can format better and there's no need to sign the applet.
The secret of how to be miserable is to constantly expect things are going to happen the way that they are "supposed" to happen.
You can have faith, which carries the understanding that you may be disappointed. Then there's being a willfully-blind idiot, which virtually guarantees it.