Although it's been a long, long time since I've used DMS files, I recall not being able to capture the Enter key with one. I think I ended up making a verb, and setting its name to "(macro)" to pick it up.
But as already stated, DMS files are depreciated in favor of the DMF interface files. In fact, I'm not sure why they're even listed any more; maybe because some parts of the guide still reference them?