Since you say this happens when you press Enter, I suspect you have extra After spacing on your paragraph style. Here's what to do (Word XP (2002), 2003 and possibly 2000):
1. Click in any paragraph.
2. Click on the Format->Styles and Formatting menu item. The Styles sidebar should pop up.
3. The paragraph style for the selected paragraph should be selected with a box. Move the cursor over it.
4. A listbox arrow should appear in the box. Click it and select Modify.
5. Click the Format button and select Paragraph.
6. Look in the After text box. It should be zero. If it's not, set it to zero.
7. Click OK.
8. Click OK on the Modify Style dialog box.
All the paragraphs that use this style in this document should now change. If you want this to propagate to the template this document is based on (probably Normal.dot), do this:
1. Click the Tools->Organizer menu item. A dialog box with two list boxes will appear. The left-hand list box will show the styles in your document' the right-hand will show the styles in the template your document is based on (probably Normal.dot).
2. In the left-hand list box, find the style you just changed and select it.
3. The Copy>> button will enable. Click it to copy the style to the template.
4. Click Close.
5. When you close your document, you may see a warning message asking if you want to save the changes to the Global template. This is an anti-virus measure, intended to alert you that something has changed in Normal.dot. In this case, you made the change, so you want to accept it.
Any new documents created with the template will now use this updated style.