IE had (has?) the onbeforeprint
and onafterprint
events: you could wait for that, but it would only work on IE (which may or may not be ok).
Alternatively, you could try and wait for the focus to return to the window from the print dialog and close it. Amazon Web Services does this in their invoice print dialogs: you hit the print button, it opens up the print-friendly view and immediately opens up the printer dialog. If you hit print or cancel the print dialog closes and then the print-friendly view immediately closes.