When using ZedGraph on Windows XP x64 I had to add the following code in ZedGraphControl.Printing.cs in the DoPrint() method:
pDlg.UseEXDialog = true;
before the PrintDialog() would display. When executed without this property set to "true" the PrintDialog() never displayed and always returned DialogResult.Cancel. This may also apply to other versions of Windows and Vista.
I tested this change on Windows XP x86 and it appears to function normally.