I'll give it a try with PUTTY and HYPERTERMINAL although I don't know how to send control characters with those programs too

But why would it be the problem of my serial program since I need to do the same when I use the PIC?

working with PIC: SEROUT PORTB.4,2,["AT+CMGS=",34,"+4179xxxxxx",34,10,"Hello Roger",26,10,13]

As you can see, here too I need to use a Line Feed instead of a Carriage Return !?