|The keyboard method is only used to set the case before you start typing.|
In Word, you can change the case of text which has already been typed.
I have Word 2007 so yours may be slightly different:
Highlight the text whose case you want to change.
Click the "Home" tab if it's not already active.
Below the font-size selector (top left), click the Aa icon.
As you'll see, this will change lower-case to upper-case or vice versa.