Use Word's find option instead. On the menu bar click Edit, and Find. In the Find what box type an asterisk (*) [without the parentheses], tick Use Wildcards, under Format (if you can't see Format click the More button), select Font and tick All Caps. This looks for all content (*) that has All Caps font setting applied to them. Also in the find tab Word has an option that says "Highlight all items found in" this actually selects all items in the find box. Tick that option and click "Find All" Close the find dialog box but don't click anywhere in your document otherwise you will deselect the Words you have just found. On the menu bar go into Format, Change Case and select Upper Case. This will remove the All Caps but the text will still be in upper case. This would not work in a Word 2003 Macro, because the macro recorder does not record the formatting.
This works in Word XP and Word 2003 but in Word 2007 Microsoft have changed the "highlight all items found" to a proper "highlight" option rather than select :(
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