You can use the "alternative commment" (asterisk ... semicolon) at the end of lines, like this:
proc iml;
A = {1 2, 3 4}; * matrix assignment statment;
x = {5, 6}; * vector assignment statment;
y = A*x; * matrix multiplication;
print y;
As Hutch points out, they are also valid on separate lines. The matrix operator is in the middle of a statement, so the IML parser can distinguish that it is not a comment.
It sounds like the color-coding shown in your editor is getting confused by the alternate comment syntax. Just ignore the color-coding, or use traditional slash-star comments (/* ... */).