Printing prime numbers in Assembly
This code can be much improved.  

The jmp prime_check is superfluous.

The comment ; The check for whether 2 is a prime is done separately here is wrong because it actually jumps to is_prime when n=3 due to the dec eax used at lb2. 
Also checking for 2 is usually done with cmp eax,2 and je is_prime.

If you cleared EDX (with xor edx,edx) after lb1: you wouln't have to write it 2 times.

Why don't you replace that downright inelegant code with cmp eax,1 and je exit?

The usual way to test if EDX is zero is to use test edx,edx and jz lb2.