Switch over to code view and look at how paragraphs begin (and end.) Switch back to book view and do what you are doing to get rid of the extra space on one paragraph. Switch back to code view and see how your paragraph differs from all the others.
Then you can do a search and replace in code view to get rid of the extra element, probably a <p> </p>. Just replace the extra element with nothing, making sure to save a copy of your document beforehand in case your bright idea goes astray.
Copying into book view will nearly always introduce extra spaces and line breaks. The issue is whether is annoying enough to use a macro like Toxaris' to clean it up or whether it is easier to just search and replace.
If you are copying a pdf, doing this can be very useful, as it often will work when other methods won't, at the expense of some clean up.