Hola ale_xi
Prueba con esto:
Private Sub txtbox_LostFocus()
Dim sPalabra() As String
Dim Palabra As String
Dim i As Integer
sPalabra = Split(txtbox.Text, " ")
txtbox.Text = ""
For i = LBound(sPalabra) To UBound(sPalabra)
Palabra = UCase$(Left$(sPalabra(i), 1)) & LCase$(Mid$(sPalabra(i), 2, Len(sPalabra(i))))
txtbox.Text = txtbox.Text & " " & Palabra
Next i
End Sub
Saludos Cordiales