How can I split a long string in source code into several lines for more readability in C++?

In other word how to make my code working if I don't want to write it one line?

#include <string>
using namespace std;

int main()
{
    string menu = "";
    menu += "MENU:\n"
        + "1. option 1\n"
        + "2. option 2\n"
        + "3. option 3\n"
        + "4. 10 more options\n";
}

Simply remove the +'s:

#include <string>

int main()
{
    std::string menu = "MENU:\n"
        "1. option 1\n"
        "2. option 2\n"
        "3. option 3\n"
        "4. 10 more options\n";
}

Adjacent string literals are automatically concatenated by the compiler.

Alternatively, in C++11, you can use raw string literals, which preserve all indentation and newlines:

#include <string>

int main()
{
    std::string menu = R"(MENU:
1. option 1
2. option 2
3. option 3
4. 10 more options
)";

}