Word 2010 how to make absolutely no space between lines? (example pictures included)

If you make each line a paragraph, set top and bottom margins to zero, and set line spacing to considerably smaller than font size, then you can tune (via the Font settings) the vertical position of characters.

For example, for Arial Black in 28pt size, the result is pretty close to “no space between”, without cropping letters too badly, when I set line spacing (line height) to 20.5pt and vertical position lowered 3.5pt.

Perfectness may be impossible, because even when using just capital letters, they need not have exactly the same height. To make letters look equally tall, typographers may make e.g. “O” extend a bit below baseline and above the capital line. Due to features of human vision, this works normally well but stops working that well when the letter is physically forced to the same height as most capital letters.