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The first word of every sentence must begin with a capital letter.
Literal
Sentence [possessive-の] first [possessive-の] word [topic-は] all capital-letter [means-で] begin must.
すべて ('all, every') sets the scope to every sentence-initial word without exception. The で on 大文字 marks the means by which the sentence must begin (started 'with' a capital letter), and ~なければならない is the textbook 'must do X' obligation pattern. The orthographic rule itself is about languages like English — Japanese has no capitalization, which is exactly why such rules get drilled in foreign-language instruction.