Don't ya love it? The ever helpful Word has auto-formatted a border, assuming that that's what you wanted (well, you did, sort of). Therefore, to remove it, you have to find the text or possibly full paragraph to which it is attached, open the Borders dialogue, and remove the border.

Sometimes, depending on how it got started, it may seem to jump around a bit when you think you've deleted it. Try selecting more lines/paragraphs, and/or entering a blank line above or below first, then removing the border.

You can prevent this from happening in the future by opening Word options/Proofing/Autocorrect/Autoformat as you type, and unchecking the box that says Borders.

Best,
Ulodesk