And then from this page: http://www.mvps.org/dmcritchie/excel/proper.htm#proper_change
put a variation of the Event Procedure under the heading "Invoking a Change
Event macro to change to Proper Case (#proper_change)" in the code for the
worksheet in question.
Then yes, you can.
Note: To test this, I removed:
If Target.Column <> 4 Then Exit Sub 'only allow changes to Col D
from the Event code, and it worked for me.