If by any chance this is part of a PHP script, you could do it very easily in the application code via the ucwords() function.
"Please give us a simple answer, so that we don't have to think, because if we think, we might find answers that don't fit the way we want the world to be."
~ Terry Pratchett in Nation
It's probably better to store the name as you want it in the database initially rather than performing an operation on it every time you retreive it.
This will do the first letter of a column value, but for you you'd need to store first name in one column and last name in the other.
SELECT CONCAT(UCASE(MID(name,1,1)),MID(name,2)) AS name FROM names;
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