Depends on the version of Word, but if it's a fairly recent version and you hold your cursor over that auto-capitalized letter, you'll get a little menu below it (see attached image). Here, you have 3 options:
1. Undo Automatic Capitalization: This will undo this one instance of capitalization, but further similar actions will be auto-corrected.
2. Stop Auto-capitalizating First Letter of Sentences: This will stop the auto-capitalization behavior for the entire document. It will not do it again until you re-enable the option.
3. Control AutoCorrect Options...: This takes you to all the auto-correct options.
This same procedure works with any auto-correct function.
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