"First word of a sentence" should work because Word treats the beginning of
a paragraph as the beginning of a sentence. But really you are making
entirely too much work for yourself. If you could get out of the habit of
pressing Enter at the end of each line, you would save yourself a lot of
work, not just in the typing but in any revision you need to do (which might
affect line breaks). If you're not going to use the power of a word
processor, then you might as well go back to the typewriter.

Word is not a typewriter. You are making things very difficult for yourself
by treating it as one. There is no carrage to return, so stop pressing enter
at the end of each line and press it only at the end of a paragraph!