Kind of hard to say without seeing your document or knowing which version of Word you're using, but, assuming that your text is written under the default "normal" style:
Modify the "Normal" style to include a first-line indent. In Word 2010, you go to the Home menu, right-click the Normal style, and select Modify. Then select Format and choose Paragraph. Under Indentation select First Line.
All of those paragraphs should now automatically indent the first line.
You'll need to select other stuff, like chapter headings, and apply different styles. The beauty of styles is that, once you tag a paragraph as a style (normal, H1 heading, etc.) you can change ALL of them by modifying the style.
I hope this helps!