Don’t you see print statement appearing while running stored procedure script as below?

The missing Go statement with yellow back ground is the cause of it.

CREATE PROCEDURE [dbo].[spGetEmployees]
@EmpId INT
AS
BEGIN
SET NOCOUNT ON

SELECT
E.EmpName,
        E.Designation,
        E.Salary
FROM
Employee
        WHERE Q.EmpId = @EmpId
END
GO

PRINT '[dbo].[spGetEmployees] is Created'
GO

Get data with column names from SQL Result set

Use copy with header and then press Ctrl +V in an excel.You will get column names too along with data.