try using:
RAISERROR('your message here!!!',0,1) WITH NOWAIT
you could also try switching to "Results to Text" it is just a few icons to the right of "Execute" on the default tool bar.
With both of the above in place, and you still you do not see the messages, make sure you are running the same server/database/owner version of the procedure that you are editing. Make sure you are hitting the RAISERROR command, make it the first command inside the procedure.
If all else fails, you could create a table:
create table temp_log (RowID int identity(1,1) primary key not null
, MessageValue varchar(255))
then:
INSERT INTO temp_log VALUES ('Your message here')
then after running the procedure (provided no rollbacks) just select
the table.