I don't recall that Shift+Tab ever did that... try using the
Backspace key instead. Also:
In Word 97 and 2000, click on Tools | Options | Edit tab | check
the "Tabs and backspace set left indent" box | OK.
In Word 2002 and 2003, click on Tools | AutoCorrect Options |
AutoFormat As You Type tab | check the "Set left- and
first-indent with tabs and backspaces" box | OK.