If you mean you want to underline text & have the spaces between words &
sentences underlined as well, select the text, go to Format>Font & choose the
underline style of your choice (something other than (none) or Words Only)
from the list in the middle of the dialog box.
As the others have suggested, the default underline (as opposed to Words
Only underline) does underline spaces, but I suspect you want to underline
trailing spaces. There are two ways to do this.
1. There's an option to underline trailing spaces on the Compatibility tab
of Tools | Options.
2. If the last of the spaces to be underlined is a nonbreaking space
(Ctrl+Shift+Spacebar), the spaces will be underlined.
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