It's probably an All Caps or Small Caps font format that's part of the style
applied to that paragraph. With the cursor in that paragraph, press Shift+F1 and
examine the formatting applied there.
If you mean the first letter of the line, then that would be because it's
the beginning of a paragraph, which Word assumes is the beginning of a
sentence, and that is governed by the "Capitalize first letter of sentences"
option in Tools | AutoCorrect Options.
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