Microsoft® Manual of Style, Fourth Edition

Ellipses

In general, do not use an ellipsis (…) except in syntax lines or to indicate omitted code in technical content. The HTML code for the ellipsis character is …. If you are using a font that does not support the ellipsis character, use three periods with no space between them.

In the user interface, an ellipsis is typically used to show truncation, as in a program name, or to indicate on menus and in dialog boxes that a dialog box will appear to obtain more information from the user. Do not use an ellipsis in this context in documentation.

Microsoft style

On the File menu, click Open.

Not Microsoft style

On the File menu, click Open….

In printed material, it is all right to use an ellipsis in multiple-part callouts, especially with a screen ...