For what? A manuscript that you'll be submitting?
Here's a FAQ on preparing manuscripts for submission.
Personally, I've never seen a manuscript where the first paragraph is all caps. I've never even heard anyone give that advice.
This is a good place to start for manuscript format: http://www.shunn.net/format/novel.html
You might have to vary some details if you're submitting outside the US.
You only have to worry about formatting your manuscript in a professional way. The publisher will take care of formatting it if and when it's published.
I was told to always indent a first sentence in a paragraph. However, I notice many writers only indent the second paragraph and put the first sentence in all CAPS instead...Is that a proper way to start a story plot?