Hi, With Word, it's automatic, as long as you’ve asked it to do so. I only have Word 2003 on hand, but the option is also available in 2007 and 2010: >Options >AutoCorrect >Tab “While Typing” >Check “Ordinals (1st) as superscript” and “st” will appear as superscript when you enter a space or punctuation character after 1st.
There is no shortcut to format text as superscript because it's just a particular display, like underline or italics. There is no binary code, so no alt+... :)
With Word 2007, there’s a button for that to the right of Bold, Italic, Underline, Strikethrough, ... It’s the X². You select the text and click on it. But it usually does it automatically for 1st :)