Unfortunately, if you have Word 2000 or later, there is no way to do this.
See "The first word of paragraph is not automatically capitalized in a
numbered list in Word 2000, in Word 2002, or in Word 2003" at
http://support.microsoft.com/?kbid=884033. This actually applies to the
first letter of a sentence following a number anywhere in the document (in
running text as well as numbered lists). It's the result of an ill-advised
design change that MS evidently has no intention of rectifying.
