Sadly, as previously said, we don't really have that on Windows. Your best options is to run your program from CMD and then pipe the standard out to a file. Something like java -jar HelloWorld.jar > hello.txt.
What I usually do is create a Handler to a log file (usually just [program name] log [date].txt and have all messages outputted there depending on the log level, which is good practice if you're used to only using System out prints.
Straightforward answer remains that no such functionality comes standard with Windows. You'll have to pipe to a file in some manner.