Yup, copy/paste from .pdf brings in each display line as a text line; that's the way it is. Still, once you've pasted the block of lines into Word you can select it (apart from the paragraph mark at the end of the last line) and use Find and Replace to replace the paragraph marks with spaces. I don't know exactly where you'll find this in Word XP: in 2010 there's a More option in the Find and Replace dialog and a Special pull-down for characters such as paragraph mark.
Hope this points you in the right direction.