Use CSS to set the paragraph top and bottom margins.
In the <head> section of the page, in Code view, add
<style type="text/css">
p {margin-top:0; margin-bottom:0;}
</style>
This goes anywhere between the <head> and </head> tags in code view.
It is not a good idea to use FrontPage text boxes, if these are
created from the Drawing toolbar. Text boxes, and all other objects
(WordArt, ShapeArt etc.) created with the drawing toolbar, use VML
graphics which are only visible in Internet Explorer. Other browsers
will render these objects as either nothing at all or as very low
quality .gif images. Any links in Text Boxes will only work in IE.
There are other problems associated with VML graphics, such as the
impression that the graphic moves around when the browser window size
is changed (actually, the page moves around the graphic which is fixed
by Absolute Positioning.) - another good reason to not use them.