According to Word Help:

Capitalize text

You can capitalize letters by changing their case, by applying small capital or all capital formatting, or by creating a large letter at the beginning of a paragraph. Choose one of the following:

Vary the case of text

1. Select the text you want to change.
2. On the Format menu, click Change Case.
3. Click the capitalization option you want.

Format text as small capital letters or as all capital letters

1. Select the text you want to format.
2. On the Format menu, click Font, and then click the Font tab.
3. Select the Small caps or All caps check box.

Create a large dropped initial capital letter

1. Click the paragraph that you want to begin with a "drop cap," a large dropped initial capital letter. The paragraph must contain text.
2. On the Format menu, click Drop Cap.
3. Click Dropped or In margin.
4. Select any other options you want.