In a numbered list, the Tab key changes the numbering level, unless
you clear the "Set first and left indent with tabs and backspaces"
option in Tools | AutoCorrect Options, AutoFormat As You Type tab. But
note that it is recommended to set up multi-level numbering with
styles (see
http://www.shaunakelly.com/word/numbering/OutlineNumbering.html) and
specify the desired indents in the Numbering dialog box. Then, apply
the desired style to get the desired numbering level. And for
non-numbered paragraphs, which should line up with the numbered ones,
you should use a style from the List Continue series (you can modify
it to suit your needs).

Apricott26,
If you want several separate lines under a particular number use shift+enter
which gives you a new line. If you want a new number hit enter.