You can apply a character style to the drop-cap character or characters in a paragraph. For example, if you want a drop-cap character to have a different color and font than the rest of the paragraph, you can define a character style that has these attributes. Then you can either apply the character style directly to a paragraph, or you can nest the character style in a paragraph style.
If you want to apply a different nested style to any characters after the drop cap, use the New Nested Style option. (See Create nested styles.)