The BREAK command should only be used in a WHILE loop and causes the macro to immediately exit the current While loop (that is, the next macro command that is executed is the one after the corresponding ENDWHILE)
Goto Position=Top
While not($_eol)
If $d_difficulty = 5
MsgOK Msg="First Difficulty 5 cache found in this database"
Break
EndIf
GoTo Position=Next
EndWhile