The answer from @Luixv is correct if there are no spaces on empty lines. If a space is used, use instead:
sed '/^[ \t]*$/d'
This is the space before \ t in brackets, i.e. [space \ t]
If this does not work, you may have a problem with the new characters. Do a:
$ file test_file
test_file: ISO-8859 text, with CRLF, LF line terminators
If you get the output above, convert the file to unix using:
$ dos2unix test_file