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To answer your question, there is no direct way to do that. Basically, you would need to copy your SMS messages to another format and then print from there.
In your outlook.com, you should be able to extract the backed-up messages from your account. Copy them some word-processing software (such as Microsoft word) and then print them from there.
You may also simply open your Messaging thread, take screenshots of the messages you want to print, save them to your PC and then print them - more tedious, but it works.