How do I break a string across more than one line of code in JavaScript?

Put the backslash at the end of the line:

alert("Please Select file\
 to delete");

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Edit    I have to note that this is not part of ECMAScript strings as line terminating characters are not allowed at all:

A 'LineTerminator' character cannot appear in a string literal, even if preceded by a backslash \. The correct way to cause a line terminator character to be part of the string value of a string literal is to use an escape sequence such as \n or \u000A.

So using string concatenation is the better choice.

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Update 2015-01-05    String literals in ECMAScript5 allow the mentioned syntax:

A line terminator character cannot appear in a string literal, except as part of a LineContinuation to produce the empty character sequence. The correct way to cause a line terminator character to be part of the String value of a string literal is to use an escape sequence such as \n or \u000A.

In your example, you can break the string into two pieces:

alert ( "Please Select file"
 + " to delete");

Or, when it's a string, as in your case, you can use a backslash as @Gumbo suggested:

alert ( "Please Select file\
 to delete");

Note that this backslash approach is not necessarily preferred, and possibly not universally supported (I had trouble finding hard data on this). It is not in the ECMA 5.1 spec.

When working with other code (not in quotes), line breaks are ignored, and perfectly acceptable. For example:

if(SuperLongConditionWhyIsThisSoLong
  && SuperLongConditionOnAnotherLine
  && SuperLongConditionOnThirdLineSheesh)
{
    // launch_missiles();
}

ECMAScript 6 introduced template strings:

Template strings are string literals allowing embedded expressions. You can use multi-line strings and string interpolation features with them.

For example:

alert(`Please Select file   
to delete`);

will alert:

Please Select file   
to delete