You are running Word - okay - is it Word 97, 2003, 2007 or 2010 ?
Word 97 and 2003 look alike and have those "windows XP" motif to them, 2007/2010 have the 'Office button" in the upper left corner and have the "Windows Vista" motif.
Another thing to try would be to hit Crtl-A (this selects everything) and then find the 'Paragraph' settings and click through the tabs until you can get the paragraph spacing to 0.
or this ?
http://www.ehow.com/how_2091523_remove-line-spacing-ms-word.html
-John