You still don't say what software you are using. Is it Microsoft Word? Are you pasting into a table?
As I said above, you may be including the 'carriage return' character at the end of the line you copy. If this is the case, you should be able to click underneath what you pasted and press delete to get rid of the extra line.
Alternatively, the text on the website may have embedded formatting that you are copying across with the characters. (Word can interpret web formatting). If so, you can highlight the text and select 'remove formatting' from the style menu. Alternatively, you can paste it into a new Notepad document (which doesn't support web formatting) and then copy it again from there and paste into your final document.