1. Create a Word document (most likely using the Blank document template, Normal.dotm)
2. Type text of first line; press Enter; type text of second line (technically Word calls these 'paragraphs'--Shift+Enter inserts a newline within the same paragraph)
3. Place cursor on first paragraph
4. Click a Paragraph Style from the Styles ribbon section to apply it (e.g., the second one, No Spacing)
5. Right click the style; choose Modify...
6. Change the formatting (e.g., the font to Wingdings)
7. Confirm the dialog
8. Select the entire first paragraph (doesn't matter whether you include the end-of-paragraph/newline)
9. Use manual formatting to override your changes to the style so the text matches the default style, Normal (e.g. use the listbox in the ribbon to change the font back to Calibri)
Done; if you now delete the newline, the second paragraph merges with the first and takes on its style, as parent points out.
Styles are the "proper" way to format Word documents (interesting to see what fraction of users actually use them). They're like a mix of HTML tags and styles: each paragraph (div) must have exactly one Paragraph Style, and each span of text can only have one Character Style. "Manual" formatting has highest precedence, followed by Character Style, followed by Paragraph Style. The benefits are the same as in HTML: semantic correctness and easy restyling of the entire document (e.g., by applying Themes from the Design tab). This sequence of steps is a fairly good demonstration of how they're used.
Edit: clarify
