Follow these steps:

Select Edit -> Find & Replace
Near the bottom left of the dialog that appears, click on the box next to "Regular Expressions"
In the "Search For" field, type: ^$ This regular expression says to search for a paragraph marker '$' at the beginning of a paragraph - programmer terms for an empty paragraph.
Click on the "Find" button
To replace the hard return with a space character, type a space in the "Replace With" field, then click the "Replace" button
To replace the hard return with nothing (remove the character), click the "Replace" button (without entering anything in the "Replace With" field)
If you have many hard returns to replace, you can also use the "Replace All" button. It is wise to save your document prior to using this option, in case it behaves unexpectedly.

Note: Regular expressions do not appear to work in the 'Replace' field.