In the AutoCorrect dialog box, did you make sure to select the "Automatic numbered lists" and "Automatic bulleted lists" options on the AutoFormat As You Type tab? The corresponding options on the AutoFormat tab won't do the trick.
More importantly, you will get more control over bullets (and numbering) if you set them up using styles. For bullet formatting, take a look at
http://shaunakelly.com/word/bullets/controlbullets20072010.html. For multilevel numbering/bullets, see
http://shaunakelly.com/word/numbering/numbering20072010.html.
Stefan Blom, Microsoft Word MVP