There is a built in .NET method to capitalize the first letter of each word in a string:
newStr = Globalization.CultureInfo.CurrentCulture.TextInfo.ToTitleCase(str)
This is easier than writing the function to do it.
I found this at:
http://www.vbforums.com/showthread.php?557905-Uppercase-first-letter-in-each-word-of-a-string.