Which version of Word? In Word 2002 - highlight the bullet point row Format>Bullets and Numbering. You should see the current type of bullet highlighted then go customise.
You may also have a paragraph formatting problem attached to this. Have a look at paragraph formatting as well. If nothing is obvious try putting in a couple of extra carriage returns and then delete the last one on the page. Now format the paragraph again as you want it. Choose the Style drop down box and see what it says - it may give you a clue.