Stop pressing Enter at the end of every line! When you press Enter, you
create a new paragraph. Word reasonably enough assumes that the beginning of
a paragraph is the beginning of a sentence. If you need a new line but not a
new paragraph (in typing poetry, for example), use a line break
(Shift+Enter) instead.
If you never want Word to capitalize the first letter of a sentence, you can
clear the appropriate check box in Tools | AutoCorrect Options. If you just
need to reverse the occasional unwanted "correction," you can press Ctrl+Z
(Undo) immediately.