While you're looking, I'll take a gues that you're using Outlook (that's the program of that name, not the email service which some idiot at Microsoft gave the same name to!) or Outlook Express.
A bit of Googling suggests that pressing Shift at the same time as Enrter might resolve the problem. Otherwise try the following as a more permanent measure:
Create a New Email Message, put your cursor in the body area
Click the Format Text Ribbon
Right-Click the "Normal" Style
Click Modify...
Click Format (in the bottom left)
Click Paragraph...
On the Indents and Spacing Tab, in the Spacing section, turn ON "Don't add space between paragraphs of the same style"
Click OK (only once)
While still in the Modify Style window, click the radio button for "New documents based on this template" (near the bottom left)
Click OK