Most people were told at some point in their lives that starting a sentence with a conjunction is ungrammatical. Long story short, no such rule exists or has ever existed, and telling an English learner (or a native speaker, for that matter) that they should never start a sentence with a conjunction is a mistake on the part of the teacher.
There is, however, a subtle difference between a coordinating conjunction preceded by a comma and by a full stop (period). In the case of “and”, a comma implies that both parts of the sentence are equally important, while a full stop implies that the second part is just an additional “bonus”, something of interest but not as important as the first part. Compare:
You will get a new car. And you can win a lot of money.
Similarly, “or” preceded by a comma implies that the two alternatives are equally acceptable, whereas a full stop is often used when there is a “but”:
You can book a flight. Or you can take a bus, but that would be a long ride.
When “but” starts a sentence, it is usually used to emphasize an important disadvantage to what has been said previously. It is then often followed by a comma, which is pronounced as a pause:
“So” is sometimes used to start a sentence (often followed by a comma) when the whole discussion has come to an end, or an important question ensues: