"Can't enter break mode at this time" error

Can someone please tell me why I get a "Can't enter break mode at this time" message when stepping through the following code (using the F8 key) at the 'With NewButton' line?

(This is code from a Walkenbach book, and it runs fine if I don't step through it. I'm using Excel 2007 btw) Thanks!

Sub AddButtonAndCode()
    Dim NewSheet As Worksheet
    Dim NewButton As OLEObject
    Dim Code As String
    Dim NextLine As Long
    Dim x
    
'   Make sure access to the VBProject is allowed
    On Error Resume Next
    Set x = ActiveWorkbook.VBProject
    If Err <> 0 Then
        MsgBox "Your security settings do not allow this macro to run.", vbCritical
        On Error GoTo 0
        Exit Sub
    End If

'   Add the sheet
    Set NewSheet = Sheets.Add
    
'   Add a CommandButton
    Set NewButton = NewSheet.OLEObjects.Add _
      ("Forms.CommandButton.1")
    With NewButton
        .Left = 4
        .Top = 4
        .Width = 100
        .Height = 24
        .Object.Caption = "Return to Sheet1"
    End With