I can't find a way of getting it to do such either, very annoying.
I know there are other paint apps that do it, but they're quite heavyweight. I use full featured ones sometimes, but other times I like the speed and simplicity of mspaint.
So I wrote the following workaround.
You'll have to download and install autohotkey first. Then create a blank file called mspaint.ahk (ensure you have view file extensions on) and paste the following:
if WinActive("ahk_class MSPaintApp")
MouseMove 20, 20, 0, R
MouseMove 0, -20, 0, R
MouseMove -20, 0, 0, R
Run the file. Now at the end of each line press space and it'll automatically click off and return to the exact location it was before, almost as fast as the time it takes to let go of the space bar so it doesn't slow your drawing.
(Don't worry it doesn't activate in any other program other than mspaint because that could get annoying!