Hi Vijay:
Kindly go through below link
http://wiki.scn.sap.com/wiki/display/ERPSCM/Activity+Profiles+in+Shipment+Processing
I'm assuming you missed to maintain below setting in activity profile for shipment.
print output after save option-->Message about delivery
Select the delivery check box and maintain the output type with correct transmission medium and processing mode.
Thanks!!
Varun