You can do it two ways:
theValue = 42;
% Method 1 (my favorite): use sprintf with \n.
message = sprintf('Line 1\nLine 2, the value = %d\nLine 3', theValue);
uiwait(msgbox(message));
% Mathod #2: use cell array:
message = {'Line 1', ['Line 2, the value = ', num2str(theValue)], 'Line 3'};
uiwait(helpdlg(message));
