This would be an easy way:
http://www.cpearson.com/excel/case.htm
Or, if VBA isn't an alternative for you:
If Column A contains the Names, Insert a blank column after Column A.
If A3 is the first name in the list, put =Proper(A3) into B3. Copy the
formula down.
Then, select all the new names in Column B and Copy.
Edit | Paste Special | Values.
Delete the original uppercase column.
Repeat for each column you need to convert.
tj