9 times out of 10, Excel isn't actually rounding the number but instead it displays it according to the format settings. Go to Format->Cells, then click on the "Number" category. Set the number of decimal places to, in your example, 3... and that should cause excel to display .002.
The fact that it displays as zero doesn't mean excel calculates it as zero... it will still calculate it as .002; the only difference is that Excel DISPLAYS it differently. Behind the scenes, it's still .002.