Yes, with the right fax related software.
The fax receiving software must be active and set to receive then automatically print.
Never tried it, but this one sounds like one example that would work for you...
http://www.rkssoftware.com/mightyfax/overview.html
Alternately, If you want to do more with MS Fax, look here
http://www.slipstick.com/addins/fax.htm under the
Printing and Forwarding Faxes section