I do not get a Page set up dialog box when I click Print - only a Print Options with Properties that if you change gives a message saying that some of settings changed may not work in Outlook and to use the Page Setup dialog box
In Outlook 2012: When you go to File > Print > Print Options you will see a panel labeled "Print Style" that may show "Memo". Just to the right of that panel, there is button labeled "Page Setup". Click that button and you will go to a "Page Setup: Memo Style" panel. Select the "Paper" tab. In that "Paper" tab you will see, in the lower right, a panel labeled "Orientation". In that "Orientation" panel select "Portrait" (or "Landscape" as you wish). Click "OK", and you will be back in the "Print" panel. Now, just hit the "Print" button and you should be OK.
Hope this helps if you have not already found the answer.