You can use OutputDebugString. OutputDebugString is a macro that depending on your build options either maps to OutputDebugStringA(char const*) or OutputDebugStringW(wchar_t const*). In the later case you will have to supply a wide character string to the function. To create a wide character literal you can use the L prefix:
OutputDebugStringW(L"My output string.");
Normally you will use the macro version together with the _T macro like this:
OutputDebugString(_T("My output string."));
If you project is configured to build for UNICODE it will expand into:
OutputDebugStringW(L"My output string.");
If you are not building for UNICODE it will expand into:
OutputDebugStringA("My output string.");