The fact that the break shows up is acutally a bug in DNN 6. Is should be resolved in DNN 7.

Yes you can add a break to the menu, but you will have to edit the template of the menu.
Depending on the skin you are using open you skin.ascx file.
Loop for this kind of  line: <dnn:MENU MenuStyle="DNNMega" runat="server"></dnn:MENU>

In most cases there's a folder with the name of the "MenuStyle" value in your skin folder.
Open that folder, and look for the XSLT file that defines the way the menu is rendered.
Add the <br /> where you need it.

In case you want to add the break only for specific pages, you could upgrade to DNN7 (should be fixed, but I didn't check).

I was typing 3 hacks to get around this and then realised one of them is actually the solution. (apart from upgrading to DNN7)

Edit your menu's XSLT (In my previous description I supposed you have DDR menu in your skin) and add this:
<span><xsl:value-of select="@text" disable-output-escaping="yes" /></span>
So find any XML line with @text in it and add the output disable output escaping.

If you are not using DDR menu (you cannot find any DDR text in your skin file), I would replace the encoded <br /> with the correct one.