Cursor doesn't print text when I tell it to
Add RAISERROR('', 0, 1) WITH NOWAIT before the delay to flush anything in the buffer to the client (SSMS?) first otherwise SQL Server will wait for more data to fill the packet.

Declare cur cursor for   
select * from orders   
open cur
fetch next from cur
while(@@fetch_status=0)
begin
    RAISERROR('', 0, 1) WITH NOWAIT
    WAITFOR DELAY '00:00:01'
    fetch next from cur
end
close cur
deallocate cur