From a quick Google which showed me similar questions to yours, I get the impression that this may be an issue specifically affecting HP printers, or rather their drivers. I suggest you try asking in an HP printer forum.
I don't understand what you mean by "it won't let you" change the paper size for your HP. You haven't said what operating system you are using, but I'll assume it's some kind of Windows - you go into Printers and Faxes and double click on the icon for the HP and choose "Properties" from the "File" menu, and what, the paper size is grayed out?