You should not use a new JFrame, but git it the current jEdit view (jEdit.getCurrentView()).
Then you should use a localised message.
There is a methode GUIUtilities.confirm() that does just that.
I've just noticed that there is already an option in General > Printing for setting this.
So, is this a good idea to ask the user each time she prints, when there is a general option?
The feature request is not clear about this:
http://jedit.org/trackers/Feature%20Requests/3525116.html