Sure enough, there is a way that you can extract an individual message from the Gmail threading "feature" (if you read my discussion on how to turn off threading in Gmail, you'll see that there's a large population of folk who are quite passionately against threading and have left Gmail entirely because of its inability to let you just have all your mail in a more traditional organization!)

That's not what you're asking me, however!

When you do have a message thread in Google's Gmail and want to just print a single message in the thread, there is indeed a way to do that, though it's a bit hidden.

The problem is, when you look to print, you'll see on the top right the following:

That's not what you want. Instead, look through the thread until you find the individual message that you want to print, then click on the triangle next to the "Reply" button:

Ahh, yes, a menu pops up with all sorts of individual message options. The one you seek is "Print", but do check out the options while you're there.

Hope that helps you out!