Make sure that all tape has been removed from the cartridges. Try another ink cartridge. If this is a brand new unit that you just purchased, I would take it back and return for another unit. If it is an older unit, there really is not much else to do, other than try a different set of cartridges, uninstall the printer, and reinstall. Check the settings to make sure you can do a test print in grayscale.
Try to do a copy of something in Black & white, by placing the document on the glass of the scanner, and then press the black button to make the copy.
Also, you could try and run Ubuntu with Windows, by downloading http://www.ubuntu.com/download
and running either the version on a CD or USB stick, or the Windows install, which will run like a regular windows program. When you load Ubuntu, you can try to do a test from there with the printer to see if it also does not print in color after going through everything on the link from HP I pasted.