A couple of ideas. You can either use data validation to warn them
that the first word is not proper or you can always force it to be
proper using VBA.

With VBA:

Put this in the worksheet module of the sheet you are affecting:

Private Sub Worksheet_Change(ByVal Target As Range)
On Error GoTo ErrorHandler
Target.Value = Application.WorksheetFunction.Proper(Target.Value)
ErrorHandler:
End Sub

Or with data validation use custom and then put this formula in:

=and(Code(A1)=65, Code(A1)<=90)