I would suggest using the [Microsoft Windows User Interface Text formatting guidelines][1].
In short it says:
- Use title-style capitalization for titles, sentence-style capitalization for all other UI elements.
- Exception: For legacy applications, you may use title-style capitalization for command buttons, menus, and column headings if necessary to avoid mixing capitalization styles.
However a more thorough read is necessary to take it all in. [1]: http://msdn.microsoft.com/en-us/library/aa974176.aspx