You should never use // comments in macro definitions for precisely this reason!
Stick with /* */

When the preprocessor expands your macro, it expands it as a single line! - the backslashes are there purely for your convenience in laying out the definition!

Thus:

#define MAX(A,B)                
  if( A > B )                   
      return A; // A is biggest 
  else                          
      return B; // B is biggest 

Will expand as:

if( A > B ) return A; // A is biggest else  return B; // B is biggest 

Which will obviously not compile.

It may well be implementation-dependent as to whether the preprocessor strips comments before or after macro expansion, and/or within macro definitions. Thus it is possible that you may get different results on different compilers - or even different versions of the same compiler!