Hm - which version of Word? If 2000 or 2003, go to Tools, Templates and Add-ins and try removing the tick from Automatically update document styles.
If 2007, hit Shift F1 while your cursor is on the paragraph and have a look at what formatting is applied to the paragraph. Word 2007 seems to think everyone automatically wants space between its paragraphs, and you may have started with that style, manually altered the formatting, and are having the formatting revert when you open it. [And you can stop it from reverting from Word Options, Add-ins, Manage Templates, and the same check box.]
There's a lot of different potential reasons, but it does sound like a Word-thinking-for-you thing - and so annoying.