Right click on the link or shortcut and look at the properties to find out what version of Word you have.
In Word 2007, under the Home tool bar, hit the Paragraph "link" then change the drop down menu to Line Space from whatever it is now to single. I don't believe there is a Zero line option. That would be really difficult to read have 0 lines on a text document. Then click the Default button on the bottom of the Paragraph formatting box. It will ask you if this new change in the format is what you want. Click yes and then you have a new default with a single line everytime you hit the enter key.
In other versions, the line spacing option is in the Paragraph formatting section. Getting their is slightly different. One possible way is to highlight a paragraph and right click on it. One of the options is the Paragraph formatting option. From there on in it should be the same.
The Paragraph formatting option could be found somewhere in one of the drop down menus of the earlier versions of Word. Word 2007 doesn't have drop down menus or at least not in the configuration I have in front of me.