It's common to use styles for things like headers, captions, and the like. Usually, after writing a header or similar item, you want to automatically switch back to Normal text (or, perhaps, to a lower-level header). Word can make this automatic:

1. Select Format > Styles & Formatting
2. Mouse over the style you want to change and click the arrow that appears
3. Select "Modify" from the menu
4. In the "Style for following paragraph" drop-down, select the style that typically follows this style

Now, every time you're in this style and hit Return, you'll automatically enter the next style, without any additional effort.

If you want to insert a line break without changing styles, use Shift-Return.