If you have Word 2007 or later try saving as DOCX and convert the DOCX to EPUB/MOBI.
See
http://manual.calibre-ebook.com/conv...-specific-tips
There is a sample DOCX you can download at that link, IIRC it includes Drop Caps
Also see
http://manual.calibre-ebook.com/faq....ats-to-convert
BR