In earlier versions of Word, if I altered a paragraph and wanted to keep
this format for the particular style I was using, I could highlight the
Style box on the Formatting toolbar and press Enter.

This doesn't happen in Word 2003 - it just reverts to the unmodified style.

Is there a way round this, please, rather than having to modify everything
on the Styles and Formatting box on the right-hand side?

TIA