In my personal experience, HP printers ALWAYS do that when you cancel a job. They suck.
I know the solution (at least in XP), but I'm unable to properly describe it in English now (it's 2:50 AM here so I'm really too tired to think).
However, since the problem is indeed so common, a simple "cancel hp queue" or something like that in Google will surely tell you all you need.
If by tomorrow nobody has a more specific answer, I promise I'll
try to help you, but it will be better if someone else with a better english does it first.
BTW, never ever again cancel something when an HP printer is printing. It's really a pain to cancel those "ghost" jobs.
you have restarted the computer, right?
That never works in this case.
EDIT: The solution in Spanish is here:
http://www.ajpdsoft.com/modules.php?name=News&file=article&sid=282