How to type a new line character in SQL Server Management Studio

You can’t. (Edit: other good answers have been posted with some workable methods.)

My preferred method to do this is via a direct SQL update.

Two general techniques:

--Literal returns inside strings
UPDATE mytable
SET textvalue="This text
can include
line breaks"
WHERE rowid = 1234

--Concatenating CHAR codes
UPDATE mytable
SET textvalue="This text" + CHAR(10) + CHAR(13) 
   + 'can include' + CHAR(10) + CHAR(13)
   + 'line breaks'
WHERE rowid = 1234

The former is a little easier to work with, but could give inconsistent results if you paste in text from outside sources with unknown line-ending codes.

The latter is somewhat harder to work with but is more likely to give you consistent and reliable results.