Vickie do you mean "globally" as in apply it to every bit of the text
in the document? If so, just select all (CTRL+a) and apply the style.

Do you mean apply the "First Sentence" style globally to the first
sentence every paragraph? Then perhaps something along these lines
will do:

Sub Scratchmacro2()
Dim oPar As Paragraph
Dim oRng As Word.Range
For Each oPar In ActiveDocument.Range.Paragraphs
oPar.Range.Sentences(1).Select
With Selection
.MoveEndUntil Cset:="n", Count:=wdBackward
.Style = "First Sentence"
End With
Next oPar
End Sub