Printing a document including the comments is simple to do but varies slightly depending on your version of Word.
Newer Versions of Word
1. Confirm that the comments will be displayed before printing:
Navigate to the Review tab on the top. Select or make sure that the setting is on All Markup. If it isn't, change it to All Markup using the dropdown menu.
Or you can use the Microsoft Word application bar on the top. Navigate to View and click Markup if it isn't checked already.
2. Print the document either from under File at the very top or using the Print icon beneath that.
Versions 2010 and Before
Look here for the Microsoft guide to Word 2010, Word 2007, and Word 2003 and Word 2002.