that is portamento 'slide' or legato
in lmms only a few instruments can do portamento:
zynAddSubFX
LB302
<most VSTs>
and it vill be in the VSTs you will find the most versatile portamento.
You look for a knob/slider named 'port' 'mono' 'legato'
In the 'bread'nButter' VST synth1 you have it in the lowest part of the GUI to the right 'Portamento'
The knob set the 'slide-time'
Set 'Voice' to either Mono or Legato
http://en.wikipedia.org/wiki/Legato
br