It's default formatting in newer versions of Word. Shift-enter will add a new paragraph without the space in between, if you just want to have single-spaced text occasionally. If you prefer to have it as the default, there's a "No Spacing" format, or you can go into line spacing options and change spacing after to 0pt, or check off "Don't add space between paragraphs of the same style".

(I'm working from Word 2010, but I don't think it's changed much).