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Capital letters    

Double-click on any word and see its definition from Cambridge Dictionaries Online.

English sentences always begin with a capital letter.

We saw the accident from a distance.    
The quick brown fox jumped over the lazy dog.    

The personal pronoun "I" is always written with a capital letter, wherever in a sentence it comes:

I like horror films.    
Jenny and I went to the beach together.    

Apart from these cases, capital letters are used at the beginning of the following types of words:

Names of people and places

Peter    
Susan    
Australia    
Hyde Park   
the Middle East    

Planets and stars can be considered as places:

Jupiter    
Pluto    
Alpha Centauri    

Titles

Mr Finnegan    
Mrs Edgeware   
Ms Johnson    
Dr Jacobs    
Major Fingleton    
the Director General    

Days, months and public holidays

Monday    
Friday    
July    
December    
Christmas   
Ramadan    
Yom Kippur    

Nationalities and regions, languages, religions and ethnic groups

a German car    
the Scandinavian countries    
She speaks Russian and Chinese    
a Muslim cleric    
the Aboriginal people    

Titles of books, magazines, films, songs, etc.

War and Peace    
Rolling Stone    
the New Statesman    
Citizen Kane    
Stairway to Heaven   
the Mouse Trap    

Notice that articles, prepositions, conjunctions, etc. are not usually capitalised.

http://www.aitech.ac.jp/~ckelly/midi/help/caps.html

More information on capital letters:

http://webster.commnet.edu/grammar/capitals.htm

http://www.grammarbook.com/

Quizzes and exercises on capital letters:

http://www.quia.com/mc/3522.html

http://webster.commnet.edu/cgi-shl/par_numberless_quiz.pl/caps_quiz.htm

http://www.grammarbook.com/

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