Probably more of a SQL Management Studio question than SQL, per se, but when I run the following simple query:
SELECT results = 'Foo' + CHAR(13) + CHAR(10) + 'Bar'
I appear to get different results depending on whether I choose "Results to Grid" or "Results to Text".
With SSMS set to "Results to Text", I get (as expected):
results -------- Foo Bar (1 row affected)
But with SSMS set to "Results to Grid", then copy and paste the results, I get