This should be under Tools > Autocorrect options >
Autocorrect > [] Capitalize first letter of sentences.
(Uncheck it.)

When you exit Word normally, it should save this change in
your default normal.dot file. If it doesn't, try creating a
new (throw-away) document. Uncheck "Capitalize". Add or
delete something in your autotext options or make some other
change that is sure to affect the normal.dot file. Save the
document and exit Word normally. The next time you start up
Word, the change should now have "stuck".

You also might want to go to Options > Save > [x] Prompt to
save Normal template. With this checked, you'll know for
sure that Word is (or is not) saving a new copy of
normal.dot after you've modified it.