Do you really mean "tab"? Pressing the tab key doesn't move the insertion point to the next line, it moves the insertion point farther to the right on the same line.
I'm guessing that you actually are referring to pressing the return key. If my guess is correct, it doesn't apply underline or Borders. The preferences in your installation of Word are set to display Text Boundaries. To disable them go to Word> Preferences - View to clear the check.
If my guess is wrong, please provide a more complete & accurate description of the issue. It would help if you'd include a screen shot & indicate the present update level of your installation