For MText (.NET) or AcDbMText (ObjectARX C++) entities, the newline character is \P as opposed to the traditional '\n' escape character, so setting the content use \\P C#/C++ (double backslash is interpreted as one) or \P for VB.NET.
(C#)
MText myText = // open me here
myText.Contents = "First line \\P Second line";
(VB.NET)
Dim myText As MText = ' open me here
myText.Contents = "First line \P Second line"
For a complete list of multi-line text formatting characters, visit Format Codes for Alternate Text Editor Reference.