Assuming you have the buttons at the top of the window on, you'll notice that one of them looks like a page of text. Under that window there is a sub-menu to select the text encoding, as well as the option to choose what kind of line breaks your document will use.
You probably have Macintosh line breaks selected, which don't show up as linebreaks in some Windows text editors. Select "Windows", and you might have the same problem in reverse, but it'll guaranteed look fine on Windows.
I always use Unix, personally, but from a "page looking right" standpoint it doesn't matter which of the three (or four, if you count unicode) you use, since web browsers read them all as whitespace and therefore render the pages correctly.
Incidentally, you can set the default in the "Text Files: Saving" preference.
