You can't do it from split screen as such, but you do have options.
You can do a screen capture, which will save exactly what you see on the screen, or selected parts. I find the Windows XP screen capture to be somewhat limiting and use a very useful free program:
http://www.vnunet.com/vnunet/downloads/2170938 /screenshot-captor
Or you can use a program such as Word and insert each picture side by side, and save and print. I am assuming you do not have a program such as Paintshop which will do this easily, but even so it should be straightforward in word.