From Word 2007 : Borders and Shading Options :
From the Ribbon, select the Home
command tab. Within the Paragraph
section, the Shading and Border
options are available.
(Unrelated note: If you are having adaptation problems to the Ribbon, see Classic Menu for Office 2007.)
If your problem is the magic dark-line that Word generates via the feature of "AutoFormat as you type" (same thing that capitalizes new sentences), and if it is too late to hit Ctrl-Z to undo, then you must apply
Format => Borders and Shading => None, but to the paragraph before the line. Ensure that it says this change is being applied to the paragraph.