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.