Microsoft Word thought you wanted to create a line, so it did so for you.
In Word versions prior to Word 2007
1. On the menu bar, click the button that looks like this: ¶
2. This will display dots where spaces were, and left-arrows where any tabs were. More importantly, it will display a paragraph mark (¶) at the end of every paragraph.
3. Select the one on the line you want to delete.
4. Click the Format->Borders and Shading menu item.
5. Click the box that says "None."
6. Click OK.
In Word 2007
1. On the Home tab of the Ribbon, click the ¶ button to display paragraph marks (¶s).
2. Select the paragraph mark above the line you want to delete.
3. In the Home/Paragraph section of the Ribbon, click the Borders and Shading list box button and select No Border.
That should do it.