How do I copy different parts of a document at one time and then print
them out as a single document? Now when I choose one part and go to
the next then selected part is unselected. So I can't select more than
one part at a time.

Hold the "CTRL" key to select different parts of a document while
remains highlighted the previous selected section.

Print specific pages and sections

You can print specific pages, one or more sections (section: A portion
of a document in which you set certain page formatting options. You
create a new section when you want to change such properties as line
numbering, number of columns, or headers and footers.), or a range of
pages in more than one section.

On the File menu, click Print.

Under Page range, click Pages.

In the Pages box, type instructions to print one of the following:

Noncontiguous pages

Type the page numbers with commas between them. Type the range of
pages with a hyphen between the starting and ending numbers in the
range.
For example, to print pages 2, 4, 5, 6, and 8, type 2,4-6,8

A range of pages within a section

Type p page number s section number. 
For example, to print pages 5 through 7 in section 3, type p5s3-p7s3

An entire section

Type s section number. 
For example, type s3

Noncontiguous sections

Type the section numbers with commas between them. 
For example, type s3,s5

A range of pages across sections

Type a range of page numbers and the sections that contain them with a
hyphen between the starting and ending numbers in the range.
For example, type p2s2-p3s5

Assuming you are using Microsoft Word for editing (the solution would
be applicable for almost all other document types and editors also),
you can select different portions of a document by using Ctrl and
Shift keys with Up and Down pointer or Mouse.

To select continuous text, press Shift, and use Down arrow or Mouse to
select the text. To make next selection without loosing the first one,
press Control key, and make the selection with mouse. You can make
multiple selections in this manner.

To print these multiple selections as a single document you need to
copy these to a new document. For that, after making all your
selections, Press Ctrl and 'C' key or Right click on any of the
selections and select Copy. Open a new document and Right click on
this and Select Paste. This should copy  the multiple selections as a
single document in this new document. Now you can print your document.

For Excel etc. there is an option in Print to print selection only,
there you can take print of your multiple selections without copying
them to a new document.