Apparently the cups driver (ppd) for Ubuntu (in both Karmic and Jaunty) is not installed by default, see this and this for more information.

The strange thing is that if you look at openprinting.org, it says

Dymo LabelWriter 400

Supplied with CUPS Works perfectly.

Supplied with cups??? Works perfectly?? How, where, when??

Well:

% apt-get source cups
% ls -l cups-1.3.9/ppd/dymo.ppd
-rw-rw-r-- 1 miekg miekg 24K Nov 27  2007 cups-1.3.9/ppd/dymo.ppd

And that’s your ppd file. For good measure I’ve put this up for download here too.

I’m using this myself and it indeed works correct. When configuring your printer in cups you need to click use custom ppd file or something like that.