In Microsoft Word, there's all the difference in the world between a new paragraph and a new line.
To insert a new paragraph, press the Enter key. If you have "show all characters" turned on, you'll see each paragraph break with its "backwards P" icon. Each paragraph in Word has its own properties. It can have extra space above or below, it could be indented from the left / right margins, with the option of different indentation for the first line.