I'm new to Illustrator, so I'm sure I'm doing something wrong. I'm typing a paragraph and when it reaches the end of the line I type "enter" to go to the next line. The problem is that each line ends at a different place, so it's not even. For example, it looks like this.

First line first line first line
Second line second line second line
3rd line third line third line

I want it to make spaces in the appropriate places so that all lines start and end at the same place, regardless of how many letters are in the sentences.

I thought that I could do this by setting the paragraph to "Justify all Lines", but that did absolutely nothing. I don't really know what I'm doing, do I need to set margins or something?

Thanks alot for the help.

Justify All Lines will work if your type is Area Type. It has to be contained in a box for Illustrator to know where the lines should end. By default, Illustrator will simply put spacing between words. You can adjust this - so it uses letter spacing, as well - by setting minimum and maximum parameters in the Paragraph panel's options - Justification menu.

Copy the type, drag out a text box, and paste.

It's easier to see the difference between point and area type if you turn off bounding boxes (View : Show/Hide Bounding Boxes). A bounding box makes point type look like area type. A lot of people new to Illy have been confused by this.
Same thing applies when typing on a path (or circle). All those type handles plus the bounding box make things difficult to see, and you run the risk of accidentally grabbing the bounding box when you're trying to adjust the type. So just turn off bounding boxes while you do type work. Makes life easier.