To print splits for a competitor on an ad-hoc basis, select the competitor in the list of competitors and use the "Print Splits" button on the competitor screen.
To print splits on download, check the "print splits" check-box on the "SportIdent" tab. You can use the "Printer Settings" button on the same tab to configure which printer to use.
This is documented in the Help under the title "Printing Split Times".
