Obviously, if you have a footnote that is more than a page long, it will
start on the page where it is referenced, consume the entire following page,
and, if necessary, overflow to the next page. Although there is no limit
(that I know of) for the length of a footnote as far as Word is concerned, I
would personally say that a footnote longer than a page is too long. I
assume this is a substantive footnote rather than mere source documentation.
That being the case, I would suggest that you convert the footnote into an
appendix and merely refer to it in a footnote.

If you must keep the footnote as a footnote, then you can at least control
how it is displayed. Assuming that there are several paragraphs in the
footnote (as your mention of "several returns") suggests, apply "Keep with
next" to selected paragraphs such that more of the footnote will flow to the
third page, allowing some of the document text to appear on the second page.

And if I have misunderstood your description and in fact the footnote is not
consuming the whole of page two, then perhaps the problem is caused by some
"Line and Page Breaks" settings already existing in the footnote.

--
Suzanne S. Barnhill
Microsoft MVP (Word)