Code: Select all
\documentclass{article}
\usepackage{ntheorem}
\theoremstyle{margin}
\theoremheaderfont{\small\bfseries}
\theorembodyfont{\small}
\theoremsymbol{}
\newtheorem{exercise}{}[section]
\begin{document}
\setcounter{section}{1}
\begin{exercise}
\noindent First line.
\noindent Second line.
\end{exercise}
\end{document}