"keep lines together" refers to keeping a single paragraph on a single
page. Hitting Enter tells Word that you now have two paragraphs ---
there is no relationship between paragraphs when using "keep lines
together." It also can't change the margins of the page to fit
everything on one page.

If you format all the paragraphs as "keep lines together" and there is
enough text to go to two pages, Word should start the 2nd page at the
beginning of a paragraph; without the formatting, Word would start the
second page based only the number of lines that can fit based on the
page margins. This sometimes leads to awkward reading.

It sounds as though you want something else to happen: a) you want to
keep all the text on a single page or b) you want two or more
paragraphs to remain on the same page. Look into the Word command
"shrink-to-fit" which will change the font size or else look at the
paragraph formatting choice "keep with next" I am unsure where you
would find this command in Word 2000 (possibly File, Page Preview)

Shrink to fit changes the font size and is best done after you are
finished editing and are ready to print. If you make changes after
using shrink to fit, you must re-do the command -- it does not keep
adjusting.

Keep with next keeps two or more paragraphs together on one page. If
the text can't fit on one page, it will move both paragraphs to the
second page. This command does keep adjusting, but it does not keep
all the text on a single page. If you format all the paragraphs with
this command, Word ignores you as this command must first obey the page
margins that are set.