Numbering in Word 2000

I have a template that has 4 headings defined. These 4 headings have auto numbering so that Heading 1 is 1, Heading 2 is 1.1, Heading 3 is 1.1.1, & Heading 4 is 1. Anyway, if I hit the return key on either of these headings without 1st typing text, I lose the numbering. How can I prevent losing the numbering when I hit the enter key or is this just a Word 2000 feature.

Thanks....