Excel displays the Number tab of the Format Cells dialog box. The solution is to use the numeric keypad to enter the desired line break in the format. Excel won't let you press Alt+Enter between them, which is what you normally do to add a line break.
Most of this can be done by the custom format 'ddd d mmmm', but you need to figure out a way to add a line break between the 'd' and the 'mmmm'. Using such a format, a date would appear in a single cell in this manner: What if you want to create a two-line custom format, however? For instance, you may want to format a date so that the abbreviated day of the week and day of the month is on the first line, followed by the unabbreviated name of the month on the second line.
(Custom formats and how to set them up has been discussed fully in other issues of ExcelTips.) Most custom formats are straightforward and easy to figure out, once you understand how custom formats work. Excel is quite flexible in how it allows you to set up custom formats for displaying all sorts of values.