In C#,we use
\r\n for new line ,so the same we can apply in Javascript too.
Refer below code:-
<script type="text/javascript">
function Split_messages_into_new_line()
{
var alert_msg1 = "Message1"
var alert_msg2 = " Message1";
var alert_msg3 = " Message1";
var alert_msg4 = " Message1";
alert(alert_msg1 + "\r\n" + alert_msg2 + "\r\n" + alert_msg3 + "\r\n" + alert_msg4);
}
</script>
<asp:Button ID="btn_alert" runat="server" Text="Split Messages" OnClientClick="Split_messages_into_new_line();"></asp:Button>