A few ideas:

If this is a PRG, try deleting the FXP first.

Warning: backup the VCX and VCT files before trying this one.
If this is in a VCX, force a good recompile as follows:

Use yourClasslib.vcx
*!! very important: OBJCODE is the only field to blank here 
*!!    (it contains the compiled code for the classlib)
Blank Fields objcode All
Use
Compile Class yourClasslib

Something as simple as running Beautify on the code might help.
I've seen odd issues where an Enter won't actually work and add a new line, but rather inserts the chr(13) character. Running Beautify gets it back to normal.

>When I am writing the code of a class.
>A comment line, below another comment line:
>
>* My comment blah blah blah
>
>I add this
>
>* More blah blah
>
>When I save it. It ignores my chances. Saving using ctrl+S OR
>The Save option from the VFP Menu.
>
>Plat: Windows 98 SE. Spanish. IE 6. VFP8.
>
>Regards,
>Pablo
>
>PD: I note that this weird behaviour occurs also with any kind of new line added there.