After clicking the Wi-Fi icon on your Mac, make sure to follow the exact directions by selecting to show other networks as listed above, such an ad-hoc network will not appear within the Wi-Fi menu itself..
how far the printer located from your Mac?
The printer should appear as hpsetup..
Make sure to unplug the USB and keep the printer unplugged from any device as the Time Capsule at this stage..
Try repeating Step One once again, enter the same Wireless Menu and select Enable Wireless..
Follow step two once again, if the Time Capsule can wirelessly detect the printer, I can't see any reason why the Mac won't do the same..