I am joining in 7 years later, but in case anyone is still looking this problem exists in other Word versions. It is because of the AutoFormat as You Type options. In Word for Mac 2011 it is solved as follows:

- With a Word document open as your current active application, click Word at the left of the toolbar at the top of the Mac screen and select Preferences. This will open the Word Preferences dialogue box.
- Under the heading Authoring and Proofing Tools click on Autocorrect.
- In the Autocorrect dialogue box select the AutoFormat as You Type button.
- Under the Apply as you type heading there is a check box titled Headings. Un-tick this.

Done. Bosh. Sorted. No more annoying change of style after hitting enter twice.

Thanks to Jay Freedman for this, who set it out with regard to Office 2007 Word and Excel: http://answers.microsoft.com/en-us/o...e-c31bf33341a7