By connecting this HP printer directly to your iMac by Ethernet, both the iMac and the printer need to be on the same IP subnet in order for the iMac to "find" it. The JetDirect Print Server, a networking interface device for this printer, was designed to be connected to a wired router or Ethernet switch ... not directly to a computer.
Since this printer was built in the late 90's, the installation CD does not include OS X printer drivers, but even OS X Lion has a printer driver for the HP 4000 that may work.
When adding this printer to your Mac, you would need to select the IP Printer option for the printer type from System Preferences. Since this printer is connected directly to your Mac, you will also need to use the printer's control panel to assign it a static IP address that is in the same subnet (10.0.n.n, 172.n.n.n, or 192.n.n.n) as your Mac. Better still, I would recommend that you get a wired router and connect both your Mac and the printer to it.