What constitutes a 'line' in the document? There are no 'lines' in a Word document. Formatting is by text flow between the current margins. If the 'lines' are merely an artefact of text flow then capitalising the first Word on each displayed line is likely to reflow the document as Capitals can take up more space then the lower case letters they replace.
If the 'lines' are actually paragraphs then the matter is rather more straightforward.
Code:
Dim oPara As Paragraph
For Each oPara In ActiveDocument.Paragraphs
oPara.Range.Characters(1).Case = wdUpperCase
Next oPara
Set oPara = Nothing