The first thing is to put this line at the start of your program:
#SIGBREAKF_CTRL_C=1 ASL 12
;And put those lines into the main loop you want to break.

If (SetSignal_(0,#SIGBREAKF_CTRL_C) & #SIGBREAKF_CTRL_C)
  Nprint "*** Break"
  END
EndIf

;Very easy and works fine.