If you use specialcells it is faster
See David his page about it also
http://www.mvps.org/dmcritchie/excel/proper.htm
Or this one for the selection
Sub Propercase_macro()
Dim selectie As Range
Dim cel As Range
On Error Resume Next
Set selectie = Range(ActiveCell.Address & "," & Selection.Address) _
.SpecialCells(xlCellTypeConstants, xlTextValues)
If selectie Is Nothing Then Exit Sub
Application.ScreenUpdating = False
Application.Calculation = xlCalculationManual
For Each cel In selectie
cel.Value = StrConv(cel.Value, vbProperCase)
Next cel
Application.ScreenUpdating = True
Application.Calculation = xlCalculationAutomatic
End Sub