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VB.Net has no such feature and it will not be coming in Visual Studio 2010. The feature that jirwin is refering is called implicit line continuation. It has to do with removing the _ from a multi-line statement or expression. This does remove the need to terminate a multiline string with _ but there is still no mult-line string literal in VB.
Example for multiline string
Visual Studio 2008
Dim x = "line1" & vbCrlf & _
"line2"
Visual Studio 2010
Dim x = "line1" & vbCrlf &
"line2"