Use basic HTML syntax for Report object,
as if you're writing WEB page.
"<FONT COLOR='#FF0000'><B>The user-defined step failed.</B></FONT>"
Pay attention to the doubleQuoted when constructing HTML line,
as in VBscript you have to include it in doubleQuotes to define a String parameter for VBscript Function and for HTML syntax doubleQuotes are required to define StringIdentification of parameters.
So, use single quotes as showed in first example,
or double-double-Quotes like that:
"<FONT COLOR=""#FF0000""><B>The user-defined step failed.</B></FONT>"