Is your printer itself set to gray? When you get to the print window you can click on Printer (mac) or Settings (pc - thanks to jmoblak's earlier post). That gets you to the printer's software - where you can select grayscale. Some printers have a "black & white" that actually prints grays too - just avoids any use of the cmy cartridge.
Another trick is to select PDF as your printer and composite grayscale as output and make a pdf. That'll be grayscale and, when you go to print it, you;ll get your printer's setup menu right away.
By the way, I'm guessing that this is a non-postcript inkjet printer. If so, it won't recognize CMYK. You might change your working space to RGB - although this usually doesn't have a bad effect on grayscales.