Here is the situation:
I have a human Paladin of Helm at level 4 and I want to level him up as
a Ranger level 1. When I do this, it doesn't ask me for my Favored Enemy
choice (level 1 ranger ability). Why? Does it have to do with him being a paladin? Is this a glitch? Am I doing something wrong? Anyone? Bueller?
Bueller? Anyone?

I have no idea - I've never heard of this before (probably because not many people multiclass Paladin with Ranger).

I suspect it's a glitch, as every multiclass ranger I've played has been offered the favoured enemy; character class shouldn't have an effect.

I don't know of anyone that has made rangers their specialty in IWD2, but maybe someone with more experience than myself can offer some suggestion or explanation.

Hmmm... You should always get a favored enemy upon taking a ranger level. If you didn't then it is probably/definately a bug (I've taken ranger/paladins before :D ). If you have Dalekeeper 2, you can edit your character to have a favored enemy. It can be easily downloaded, though the URL escapes me at the moment.