As its name suggests, a thermal printer is one that prints on paper using not ink, but selective heat sequences. Often used for restaurant and retail receipts, you can tell a thermal printer apart from a non-thermal variety because the former prints extremely fast--almost instantly, in fact. In order to be used for such printing in the first place, thermal paper is designed to be extremely heat-sensitive, so if you expose a thermal receipt to a heat source, it may turn completely black. It may still be possible, however, for you to see the receipt again.
Make a digital image of your receipt using a digital camera or, better, a scanner. Photograph the image using your camera or lay it flat on your scanner's bed and press the "Scan" button. Save the file on your computer as a .JPG image.
Open your file in a photo editing program, be it a for-purchase one like "Adobe Photoshop" or your computer's default, "Paint." Right-click your file (hold down "Ctrl" while you click if you use a Mac) and select the name of your photo editing program from the "Open With" sub-menu.
Invert the colors in your image to attempt harvesting your receipt information. If you're using either the Microsoft or Apple variant of a basic "Paint" program, drop-down the "Image" menu and click "Invert Colors." If your receipt is salvageable, its original information will show in black on the now-white image.
Print your inverted color image and store it in a safe place. Although a document printed on standard paper won't be as sensitive to heat as a thermal receipt, you must still take care not to damage it.
Next time you make a purchase, ask for an extra copy of your receipt--or, if the store can't give you on, make a photocopy yourself. Additionally, paying with a credit card whenever possible can be an extra assurance, as many stores can now perform a "receipt lookup" using your payment information.