Many people say you can't format the login screen in Windows to display a legal notice, company message, whatever. They are indeed true... to a degree.
Earlier this afternoon I came across this issue and was not going to settle for not having spaces between my paragraphs. To solve this, you can use a ridiculous amount of spaces between paragraphs to simulate the break (I tried multiple special characters for spacing, but all of them either get trimmed or hide the rest of the text). Additionally, you can use special alt characters for some formatting (quotes, bullets, etc.). If you don't have a keyboard with a keypad to type the special characters, you can open up word, insert a symbol into the document and copy and paste it over using the Control+C and Control+V keyboard shortcuts.
The only downside to this method is that only 512 characters will show up on Windows 2000 machines, but if you are still on Windows 2000, then I would strongly encourage you to update to a later operating system.