In a blank column next to your data, enter =PROPER(A1) where A1 is the first
cell of your data, and copy this down as far as you need to go. Then, copy
these cells and do a Paste Special / Values over the original data. Finally,
delete the column with the formulas.
Sub ToProper()
Dim c As Range
Application.ScreenUpdating = False
For Each c In ActiveSheet.UsedRange
If c.HasFormula = False Then
c.Value = StrConv(c.Value, vbProperCase)
End If
Next c
Application.ScreenUpdating = True
End Sub