public class MyCLass
{
        [Microsoft.SqlServer.Server.SqlProcedure]
        public static void MyProc(SqlString param1, SqlString param2)
        {
            using (SqlConnection sc = new SqlConnection("context connection = true"))
            {
                sc.Open();
                ....
                ...
                // как тут сделать PRINT ?
                ...
                ...
             }
        }
}