In order for labels or documents to print automatically when you process a shipment, you need to enable the autoprint setting in Setup > Printing.
For labels, go into Manage Labels. Select the label and then click Label Settings. Enable the Autoprint On Ship setting.
For documents, such as the BOL, go into Manage Documents. Click the document and then select Document Settings. Enable the Autoprint On Ship setting. With the BOL, you have the additional option of previewing the document before you print it.
Click OK to save your settings.