Tools>AutoCorrect Options>AutoCorrect and uncheck "Capitalize first letter
of sentences"
That said, you should disable this feature because sentences are supposed to
start with capital letters. Word is not a typewriter. Pressing "Enter" is
not the same a carriage return. Pressing "enter" tells Word to start a new
paragraph. Since paragraphs start with sentences .....
You can leave the option as is and use a line break to start a new line
(Shift+Enter).
HTH