(of course use whatever cell reference is appropriate) and copy the formula down.
BEWARE: If you are converting names from upper case to capitalised, the proper function does not do a good job with names like MCDOUGALL, changing it to Mcdougall instead of to McDougall. Remember, the PROPER function will only capitalise the first letter of each word!
You might also want to consider this versatile little piece of code (one of Ivan's I think):
Dim ocell As Range, ans As String
ans = Application.InputBox("Type in Letter" & vbCr & _
"(L)owercase, (U)ppercase, (S)entence, (T)itles ")
If ans = "" Then Exit Sub
For Each ocell In Selection.SpecialCells(xlCellTypeConstants, 2)
Select Case UCase(ans)
Case "L": ocell = LCase(ocell.Text)
Case "U": ocell = UCase(ocell.Text)
Case "S": ocell = UCase(Left(ocell.Text, 1)) & _
LCase(Right(ocell.Text, Len(ocell.Text) - 1))
Case "T": ocell = Application.WorksheetFunction.Proper(ocell.Text)