It's a paragraph mark. See
http://www.word.mvps.org/FAQs/Formatting/NonPrintChars.htm.
Usually it appears and disappears (along with the dots in the spaces between words, and arrows for tab characters) when you click the ¶ button on the Home tab. If that button doesn't change the appearance of the paragraph marks, click the Office button (the circle at the top left) and click Word Options, then click Display, and clear the check mark from the box for "Paragraph marks".