Maybe, there are two diferent way to paste some characters in a cell.
First:
     1. Select a cell
     2. Ctrl+V
     3. Press "Enter" key
     result: the cell is still selected instead of going to the next row.

Second:
     1. Double click a cell
     2. Ctrl+V
     3. Press "Enter" key
     result: Go to the next row.

So, I wonder which way is the right one I can reproduce this issue.

That depends on your Options (Tools > Options > OpenOffice.org Calc > General): you can choose to 
make Enter move the cursor Down, to the Right, Left etc., or switch to editing mode.

If you have set your Options so Enter should move the cursor Down, then pasting first shouldn't 
change that situation. It looks like Calc's behaviour is inconsistent: Mei Ying has confirmed that 
selecting a cell, then pasting into it and hitting Enter, will not move the cursor down, while double-
clicking the cell instead (before pasting and hitting Enter) will.

Mei Ying has confirmed this on WinXP, I also confirm it on Mac OSX (DEV300_m21):

1. set Options so Enter moves cursor Down
2. select a cell
3. paste into it
4. hit Enter

the cursor does not move Down. (If you double-click the cell in step 1 instead, it does.)