This is a handy watch-it-live lesson in the changing of language. Right before our eyes, the term cellular phone became universally shortened to cell phone (phone itself being a shortened version of telephone). Yeah, I know, in the UK it's still a mobile, but that's a shortened version of mobile phone.
Now that everyone's on board with cell phone, the two words are in the process of 'closing,' becoming a single recognized word. Often there's a period during which there's a hyphen in the middle, but eventually that disappears.
As a permanently joined compound, cellphone is well on the way to joining notebook, motorcycle, and dustmop.
Maryn, noting Word tends to be well behind the curve on joined compounds