Chuck,
If it's an older printer, this is the way to go. Newer printers are "plug and play" which means you usually can plug them in and Windows will recognize that a new device has been added and ask for the software install disc that came with the printer.
If you were using Windows 95, I'm assuming this is a printer that uses the LPT or parallel port (the big, usually purple one of the back). LPT printers are not plug and play.