Hello,
This is an extremely common problem with the 5940 Deskjet models. Most envelopes are too thick to be fed through the printer, which causes the printer to believe it's jammed, hence the orange light.
My suggestion would be to attempt to use a thinner, or even smaller, envelope as a test. If that works fine, then you may need to use them from here on out. If it doesn't work, let me know and I'll try to assist you further.
Vincent P.
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