In Word 97 and 2000, click on Tools | Options | Edit | check the
"Tabs and backspace set left indent" box | OK.

In Word 2002 and 2003, click on Tools | AutoCorrect Options |
AutoFormat As You Type | check the "Set left- and first-indent
with tabs and backspaces" box | OK.

JJ wrote:

I am trying to work in a bullets, but when I hit the tab key, the cursor
moves, but the bullet does not indent (or change style). What's wrong?