.NET supports multi-line strings, of course. The syntax @"..." is just a shortcut to make it easier to use the language. However, in your specific example, you should not try to combine the value in: this whole example should be executed through parameters:
cmd.CommandText = "EXEC sp_addrolemember N'db_execute',@rolename"; cmd.Parameters.AddWithValue("rolename", yourRoleName);
Update: msdn check, the second parameter is the member name, but you can also use:
cmd.CommandText = "sp_addrolemember"; cmd.CommantType = CommandType.StoredProcedure; cmd.Parameters.AddWithValue("rolename", "db_execute"); cmd.Parameters.AddWithValue("membername", yourMemberName);
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