For Linux and MacOS: Use the \ escape character:
curl "http://WEBSITE" -H "Host: WEBSITE" \
-H "Accept: text/html,application/xhtml+xml \
,application/xml;q=0.9,*/*;q=0.8"
For Windows: Use the ^ escape character:
curl "http://WEBSITE" -H "Host: WEBSITE" ^
-H "Accept: text/html,application/xhtml+xml ^
,application/xml;q=0.9,*/*;q=0.8"