I. "The voice of a man..."
This is called a sentence fragment. Extremely common in spoken English, and accepted in all but the most formal writing. Sentence fragments do have capital letters.
II. I'm not sure what this meaning. Possibly:
"Who is that?" the man said, looking at us and smiling. "A nasty dog."
III. "How it has changed" is an exclamation, and expression of strong feeling, so it would usually take an exclamation point: "How it has changed!"
"How great it has changed" is wrong because the structure requires an adverb. "How greatly it has changed" would be acceptable.
How you've grown!
How beautiful she is!
How smoothly this car runs!
How cold it is today!
How warmly they welcomed me!
How dirty your face is!
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