Your description is a little confusing, as there are sentences in a paragraph, not the other way around. I THINK you mean the first line in the paragraph. You do that indentation not with a TAB character, but with a paragraph style change, this way:
(Note: This answer is long because it contains two sets of instructions: One for Word versions prior to 2007 and one for subsequent versions.)
In Word versions prior to Word 2007:
1. Click in an affected paragraph.
2. Click on the Format->Styles and Formatting menu item.
3. In the bottom part of the sidebar that pops up, the style for your paragraph should have a bold box around it.
4. Hover the cursor over the style. A listbox arrow should appear. Click it.
5. Select Modify from the list box.
6. Click the Format button and select Paragraph.
7. Set the Special listbox to First Line.
8. OK out of everything.
All paragraphs in the document with that style should adjust themselves.
Now, if you want to carry this one step further and fix the style on the template your document is based on (probably Normal.dot, but not necessarily), do this:
1. Click the Tools->Organizer menu item.
2. In the left-hand list box, find and click on the style you changed.
3. Click the Copy button between the two list boxes.
4. Click OK.
When you close your document, you may see a warning message asking if you want to save the changes to Normal.dot. This is an anti-virus measure, intended to alert you that something has changed in Normal.dot. In this case, you made the change, so you want to accept it.
In Word 2007, possibly 2010:
1. Click in an affected paragraph.
2. Click the Home tab on the Ribbon.
3. Click the arrow in the lower right corner of the Styles section.
4. The style for your paragraph should have a bold box around it. You may have to scroll down to find it.
5. Hover the cursor over the style. A listbox arrow should appear. Click it.
6. Select Modify from the list box.
7. Click the Format button and select Paragraph.
8. Set the Special listbox to First Line.
9. Click OK.
10. If you want this to carry forward to other documents based on the template this one is based on, click the radio button for New Documents Based On This Template.
11. OK out of everything.
All paragraphs in the document with that style should adjust themselves.
When you close your document, you may see a warning message asking if you want to save the changes to Normal.dotx. This is an anti-virus measure, intended to alert you that something has changed in Normal.dotx. In this case, you made the change, so you want to accept it.
That should do it.