I've already turned off the automatic formatting for bullets option. When I
start a new bullet list, word adds bullets to every single line in my
document - including headings. When this happens, I press undo and all
bullets are deleted except the one I wanted to insert.

I know this is some type of automatic formatting, but I've turned off
everything that seems to be associated with automatic bullets.

I'm working on Word 2003. I don't remember ever having this problem with
previous versions.