In VBA (and VB.NET) the line terminator (carriage return) is used to signal the end of a statement. To break long statements into several lines, you need to
Use the line-continuation character, which is an underscore (_), at the point at which you want the line to break. The underscore must be immediately preceded by a space and immediately followed by a line terminator (carriage return).
In other words: Whenever the interpreter encounters the sequence <space>_<line terminator>, it is ignored and parsing continues on the next line. Note, that even when ignored, the line continuation still acts as a token separator, so it cannot be used in the middle of a variable name, for example. You also cannot continue a comment by using a line-continuation character.
To break the statement in your question into several lines you could do the following:
U_matrix(i, j, n + 1) = _
k * b_xyt(xi, yi, tn) / (4 * hx * hy) * U_matrix(i + 1, j + 1, n) + _
(k * (a_xyt(xi, yi, tn) / hx ^ 2 + d_xyt(xi, yi, tn) / (2 * hx)))
(Leading whitespaces are ignored.)