If you've selected one or more messages in a main window, you can print them by selecting Print from the Message menu. Or, if you're in a view window, you can use its Print button to print the message from that window.
Message printing with xmh isn't very flexible. For instance, it just hands the message file to the print command, without preformatting it to remove semi-useless header fields, fold wide lines, and so on. By default, xmh uses the enscript command to turn messages into PostScript files and send them to a PostScript printer. See the Section Changing the Print Command.