Word supports the use of both hyphens and dashes. Actually, it supports three types of hyphens and two types of dashes. It is important to understand how Word handles each of these as they can affect the appearance of your document. Regular hyphens. These are created by simply typing the hyphen key. This is the key that is to the right of the zero key on the keyboard. It is sometimes mistakenly called a dash key.
Regular hyphens are used to create compound words, such as “mix-up,” or to indicate a minus sign in an equation. If a compound word appears near the end of a line, the second word will be displayed on the next line, if necessary, with the first word and hyphen remaining on the previous line.
Optional hyphens. These are created by pressing Ctrl+- (Ctrl and the hyphen key). Optional hyphens are typically used in the middle of a word, between syllables, to indicate where a word should be broken between lines if Word deems it necessary. Optional hyphens are the type inserted automatically when you use the Hyphenation tool in Word. The optional hyphen does not appear on any printout unless it is actually used at the end of a line.
Non-breaking hyphens. These are created by pressing Ctrl+Shift+- (Ctrl+Shift and the hyphen key). Non-breaking hyphens are used in compound words to indicate that both words and the hyphen should be treated as a single word when Word is forming lines. In this case, the compound word will never be broken over two lines. It is also helpful to use non-breaking hyphens in phone numbers.
En dash. An en dash is a typographic dash that is as wide as a lowercase “n” character. These dashes are typically used to denote ranges of numbers, as in 3–7. You create an en dash by pressing Ctrl and the minus sign on the numeric keypad. You can also create it by holding down the Alt key as you type 0150 on the numeric keypad. If necessary, Word will break a line right after the en dash, not before it. In other words, the en dash always stays with the characters immediately preceding it. Em dash. An em dash is a typographic dash that is supposed to be as wide as a lowercase “m” character. In Word, however, the em dash is twice as wide as the en dash. (The width of the em-dash can vary from font to font.)
Em dashes are used in creating breaks in sentences between two separate thoughts. Word will substitute an em dash automatically as you are typing if you type a word, two hyphens in a row, and another word. You can also explicitly enter an em dash if you press Ctrl+Alt and the minus sign on the numeric keypad. You can also enter one by holding down the Alt key as you type 0151 on the numeric keypad. If necessary, Word will break a line right after the em dash, not before it. The em dash always stays with the word immediately before it.
Source: Understanding Hyphens and Dashes (Microsoft Word)