You have to make sure you enter it in as html and not as text. First click the html button to open html editor and then add something like this:
<p><span class=”dropcap”>T</span>his is a Magazine Style Drop Cap. The first letter in this paragraph is big. JA Sanidine II bring into your Jooomla template the magazine drop cap technique and CSS2 includes the first-letter pseudo class. In all fairness to the paragraph itself we probably should type enough to see how it looks when it is surrounded by its textual friends by using more words.</p>
I hope this helps. Just change the T for your own letter and the rest of the text to whatever you want.