I get the error message "illegal character" when I use the underscore character to break a long line of code into two or more shorter lines.

My full macro was originally written with Excel 2003. The underscore character works in that portion of the code. I'm adding some lines to the macro with Excel 2011. I get the error message in the new portion. How do I break lines in Excel VBA 2011? I use the file type ".xlsm" to save and run macros in Excel 2011. It uses the same Personal Macro Workbook and most of my other macros work. They do not recognize the equivalent keys, for example, CMD-OPT-b

I tried to use ONKEY to call with the FUNCTION key, but it doesn't work:
   OnKey "{FUNCTION}{RETURN}", "ENTER_KEY"
This worked until I saved, quit, and restarted.