From MSDN:
You can retrieve warnings and informational messages from a SQL Server data source using the InfoMessage event of the SqlConnection object.
The informational messages that is being referred here includes the value being returned by print command.
Update:
AddHandler myConnection.InfoMessage, New SqlInfoMessageEventHandler(AddressOf OnInfoMessage)
Private Sub OnInfoMessage(ByVal sender As Object, ByVal e As System.Data.SqlClient.SqlInfoMessageEventArgs)
mySB.AppendLine(e.Message)
End Sub
Where myConnection is you SQL connection and mySB is your String Builder.
e.Message has the value of print
.