There are many ways you can do this and most involve running a DIR command
from DOS, saving the output to a txt file and then printing that file.
You might want to have a look at KB 196158 - "How to Create a Text File
List of the Contents of a Folder"
(http://support.microsoft.com?kbid=196158) which explains how to do this.
Better though is KB321379 - "How to add the Print Directory feature for
folders in Windows XP" (http://support.microsoft.com?kbid=321379) which,
whilst targeted at XP users, explains how to add "Print Directory" to the
right click menu in Windows Explorer.  The method works equally well in
Win Me.  Incidentally you must ensure that printdir.bat is placed in your
Windows folder.

In addition to what Mike mentions, if you need a more dedicated
facility, have a look at a 3'rd party add-on such as ExpPrint
http://www.jddesign.co.uk/.

Dave