Guy,

Have you tried the keyboard shortcut for inserting the
ellipsis symbol ALT+CTRL+. (That is ALT and CTRL and a
Period).  I believe that it is a default autocorrect entry
to autocorrect three consecutive periods with the ellipsis
symbol.  If you want to do it with three individually
spaced periods, then use a non-breaking space
CTRL+Shift+spacebar between each period.

In current versions of Word, if you type three periods in a row (without
spaces), Word will substitute the ellipsis character, which in most fonts
looks better than three periods with or without spaces. You can also insert
this using Ctrl+Alt+Period. If you prefer to use spaced periods instead, use
nonbreaking spaces (Ctrl+Shift+Spacebar) between the periods but ordinary
spaces before and after the ellipsis (which gives you an advantage over the
ellipsis character, which does not permit breaking before or after).

In Tools | AutoCorrect, if you have "replace text as you type" checked, it
will automatically turn 3 periods into an ellipsis, which will not break
across lines, but looks pretty identical.

If you don't want this on all the time, you should. Reconsider, and see here
for how you can turn AutoCorrect to your own uses:
http://word.mvps.org/faqs/customization/AutoCorrect.htm

But for your current problem, I would suggest turning it on temporarily,
letting it AutoCorrect an ellipsis (type 3 dots, then a space), then copying
the ellipsis (without the space) and using Find and Replace to replace 3
periods with the copied ellipsis.

You could probably also dig an ellipsis out of Insert | Symbol and use that
do the Find and Replace.