Dialog boxes can't be printed directly as far as I know. I'm sure there are some real tricky programs which might capture the text in dialog boxes and print them. Maybe look around on download.com

Pop-up windows may very well print using a right-click of your mouse. This is always a good thing to check. Just put your mouse over the pop-up window and right click. If a print option comes up you might be in good shape. Otherwise you can look in the File menu of the parent program for such an option.

One alternative is to capture the window as a graphic then paste the graphic into a picture program (or Acrobat, or Word, etc) then print from there.

This screen capture uses the keyboard Print Screen button. It will work to capture the pixels on the screen.

Other than those suggestions maybe you can give some better idea of what you are trying to accomplish so that we can be more specific.