When you press the return key in Dreamweaver it does NOT put in a paragraph mark as in MS Word. It inserts < p > Tags into the HTML code that is is creating. This gives the effect you can see on the screen of double spacing, which is how the code will display in a browser. (WYSIWYG)
If you hold the shift key and press enter (or return) dreamweaver inserst a break. < b r >. A line break. (as in word, a manual line break), and is probably the effect you are looking for.
Remember that MS word is a word processor and Dreamweaver creates HTML.