Okay, it all has to do with setting your styles. This link should help you:

http://shaunakelly.com/word/styles/tipsonstyles.html

But, for a quickie fix, you could highlight the first two lines (labeled "At least, 0), leave the Line Spacing at "Single" then set the "Spacing" to "Before = 0 pt" and "After = 0 pt". You will get the results you are looking for.

Hope this helps...(The link surely will!!).

(Sorry...did not mean to highjack this topic from Stephan or cause confusion.)