Word is trying to be friendly, but you need to train it to know your needs a bit better. I'm guessing that your Note style includes a bullet that causes Word to consider it part of a list. To fix the problem immediately, click the Paste Options Smart Tag and choose Paste List Without Merging. Word will restore the formatting of the paragraph you pasted.
Word 2003 and Word XP have the smart-cut-and-paste features; Word 2000 does not.
To prevent Word from changing the style the next time you paste a list-like paragraph, choose Tools » Options, click the Edit tab, and then click the Settings button to display the Settings dialog box for smart cut and paste (see Figure 4-12). Uncheck the "Merge pasted lists with surrounding lists" box, and click the OK button to close each dialog box.
Figure 4-12. Uncheck the "Merge pasted lists with surrounding lists" box to prevent Word from changing the style of list paragraphs you paste into another list.
The other option you should know about here is the "Smart style behavior" box, which is useful when you're pasting text from one document to another. If you check this box, Word compares the style name of the text you paste with the style names in the destination document. If the names match, Word applies the style in the destination document. So, if you copy a Body paragraph from a document that uses 10-point font for that style to a document that uses 13-point font for Body, Word applies the 13-point style to the text. This behavior is usually helpful, but if you don't like it, uncheck the box.