Whether typing === and pressing Enter creates a double line or not depends
on the "Automatic borders" setting in AutoFormat As You Type. But you can
insert a border manually. In Word 2007, the Borders button is the bottom
right one in the Paragraph group. Click the arrow beside that and choose
Borders and Shading, which will open the dialog. Select a double line style
and the appropriate weight, click None to remove the Box border Word will
have selected, and then click the bottom of the preview to apply a bottom
border.

Note that Word interprets a bottom border very literally. If you press Enter
after doing this, the bottom border will be applied to the new paragraph. To
correct this, either press Ctrl+Q (if the paragraph has no other direct
formatting) or, on the Borders menu, select No Border or click the Bottom
Border button to remove it. (Hmm, frustratingly, in Word 2007 this removes
the border from *both* paragraphs! You'll have to reapply it to the top
paragraph with the Bottom Border button).

That double line will now be your default border, so the next time you want
to insert/apply one, you can use the Bottom Border button on the Borders
menu.

A better approach would be to define a style that has a double bottom (or
top) border and use that when you want to insert such a line.