Yeah, make sure you have your printer set to glossy paper. I accidentally ran some glossy paper through once without changing the setting and the ink NEVER dried. When I say never, I mean even a week later I could still wipe the ink off the paper with a rag.
Also, sometimes if I'm only printing one cover, I'll stick one sheet of my good quality paper into the paper tray on top of my regular copy paper. I do this so that after printing my cover, I don't have to put the copy paper back in. The problem with this is that I've found that the glossy paper tends to stick to the copy paper beneath it. When this happens, you get the following problem:


So it's probably best to just use the paper you want to print on.
Also, I hate to have to ask, but if your glossy paper is only one sided, are you sure you are placing the paper the correct side up?