There are two obvious possibilites and a couple that might not have
happened.
(1-2) Go to Format Paragraph (probably within Modify Style, but since
you didn't say which version of Word, I can't tell you how to get
there) and on the first tab change "Space Before" and/or "Space After"
to 0 -- or simply check the box for "Don't add space between
paragraphs in the same style'; and on the second tab uncheck "Keep
lines together."
(3-4) Are there any empty paragraphs between the ones that are
misbehaving? (Turn on Show Non-Printing Characters, and if there's a
column of paragraph marks, delete them.) In that same second tab of
Format Paragraph, uncheck "Keep with Next."
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