If you want to manually select the cells to change, then you can run
this macro on the selected cells:

For Each c In Selection.Cells
c.Value = StrConv(c.Value, vbProperCase)
Next c

If you want to automatically have the entire database changed then,
with your cell pointer anywhere within the database, use this instead:

Selection.CurrentRegion.Select
For Each c In Selection.Cells
c.Value = StrConv(c.Value, vbProperCase)
Next c