"tha data sheet talks about printing each dot."

Well, if that's what the data sheet says, then that's what you must do!

"Do i have to go through the pain of sending signals to printing each dot in a charactor?"

You have the manual - what does it say?
Does it say that the printer has a "text" mode? If not, you'll have to build the characters yourself!

I couldn't see the DP500 on the Citizen Business Machines site, http://www.cbma.com/start.asp, but on the DP500 page, it talks about "Character or Graphics Versions"
http://www.cbma.com/Products....Mode=Specs
Maybe you've bought the Graphics Version when you wanted the Character Version?

As you've actually bought this printer, can you contact the vendor for technical support?
Maybe, if you ask them nicely, they'll swap it?