ok, this should do it eh?

if anyone else interested in creating this function, I changed it to include hyphens so people with hyphenated last names will be correclt fixed. Just add this into your SQL area of phpmyadmin (be sure to change the delimiter at the bottom of that page to a tilde)

CREATE FUNCTION CAP_FIRST (input VARCHAR(255))

RETURNS VARCHAR(255)

DETERMINISTIC

BEGIN
DECLARE len INT;
DECLARE i INT;

SET len = CHAR_LENGTH(input);
SET input = LOWER(input);
SET i = 0;

WHILE (i < len) DO
IF (MID(input,i,1) = ' ' OR i = 0 OR MID(input,i,1) = '-') THEN
IF (i < len) THEN
SET input = CONCAT(
LEFT(input,i),
UPPER(MID(input,i + 1,1)),
RIGHT(input,len - i - 1)
);
END IF;
END IF;
SET i = i + 1;
END WHILE;

RETURN input;
END;

everytime I save the plugin, the system adds an extra ' at the end of the query like this (see last red '):

UPDATE `#__comprofiler` SET `firstname` = CAP_FIRST1(`firstname`) WHERE `id` = '[user_id]';

UPDATE `#__comprofiler` SET `lastname` = CAP_FIRST1(`lastname`) WHERE `id` = '[user_id]';'

is that normal? I delete it and it comes back

yep, just doonloaded it too. Using CB1.7.1, J1.5.