In order to print separations form the advanced print dialog you need to print to a rip or post script printer.
cmyk will print yet not correctly for what you are trying to do.
if you want to use cmyk to seps this change your "red" text to 100% magenta and your Black drop shadow to 100% K (cmyk black)
If this will not work your not set up with a rip or postscript printer. A workaround would be to manually separate.
Create a simple custom crop mark. Make a plus symbol with the Freehand or bezier tool. .5 pt outline. copy this and place one on each side of the design.
Group. Copy the group to a new page. For the red plate remove the black drop shadow and change the red to black. Noext go to the next page and change the red to white. here are your separations.
This is a quick easy way. not the most productive yet works especially for simple designs. the image attached will hopefully help. it is one I did a while ago helping someone else yet same principals
http://www.yourimagehost.com/is.php?...mg=Choking.jpg