No, it is not necessary to press the "enter" key to move from one line to the next when typing in Microsoft Word. This used to be the case when typing with an old manual typewriter, as the user needed to move the cartridge to the next line when the edge of the paper was reached.
However, with the advent of word processors, the computer now recognizes the width or a page and the desired page margins (as set by the user), and the Word software will automatically move a word to the next line on the page if there is not enough space for it on the current line.
The question is unclear. Does it mean to press enter at the end of the paragraph to start a new line or new paragraph to to hit enter at the end of each line in a paragraph? I took it as meaning to hit enter at the end of each line while typing a paragraph instead of letting the program use the word wrap feature. I teach beginning word to high school students and it is amazing at how many students think that to get a new line on the page while typing a paragraph they have to force the line by hitting enter and then they don't understand why the next line automatically capitalizes the 1st word in the line.
If you press enter while typing in a paragraph it will move to a new line. If you want to start a new line or paragraph then you would press enter, however if you are continuing in the same paragraph word will wrap as you type. This question should perhaps be re-phrased to make it clearer.