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As you have discovered, AutoCorrect does not work with this data.

Excel has the PROPER Function that will do what you want in a "helper" column.

Assume Names are in Column A.

A1 contains gord dibben

In B1 enter  =PROPER(A1)

B1 returns Gord Dibben

Drag/copy B1 down as far as you wish.

If/when happy with results, copy column B and (in place) Paste
Special>Values>OK>Esc.

Delete original Column A.

Alternative.........

A macro to change all selected cells to Proper Case.

Sub Proper_Case()
   Dim Cell As Range
   Dim selected As Range
       On Error Resume Next
   Set selected = Range(ActiveCell.Address & "," & Selection.Address) _
   .SpecialCells(xlCellTypeConstants, xlTextValues)
   If selected Is Nothing Then Exit Sub
       For Each Cell In selected
            Cell.Formula = Application.Proper(Cell.Formula)
   Next
End Sub

Gord Dibben Excel MVP