This was from the Help system in my copy of Excel 2007. (Search Auto Change Case).
Excel Click the Microsoft Office Button , and then click Excel Options at the bottom of the window. Click Proofing. Click the AutoCorrect Options button. On the AutoCorrect tab, select or clear any of the following check boxes: Correct TWo INitial CApitals Capitalize first letter of sentences Capitalize names of days Correct accidental use of cAPS LOCK key