In the vast majority of dialog boxes there is a button that looks slightly different to any other buttons, maybe with more of a 3D look or maybe a slightly different colour.
This is what can be described as the default button. This means that this is the button that gets pressed when you press the ENTER key, no matter which control has "focus".
So for example, when you close a document you may get a message asking whether you want to save changes, you will probably have 3 buttons – yes, no and cancel. Usually the yes button is the default, so you can just hit the enter key.
You may already be doing this, but now you know and you can look out for other default buttons in other dialog boxes.