In English, both on computers and under the blue roof, the capital letters in the title (uppercase in the first letters of almost all words) are for the titles, and the capitals in the style of sentences (in capital letters only the first letter of the first word) are for sentences. Titles generally include headings for your documents, pages and sections and labels for controls. They are often fragments of sentences that lack the subject or predicate. The sentences are "regular" content, each of which generally includes a subject and a predicate, although sentences in the sense of the command often have "you" as the implicit subject.
There are some gray areas. Style guides provide specific guidelines on when to use each. For example, Apple recommends the title style for menu names, menu items, buttons and any label other than a complete sentence. Apple recommends the style of prayer for messages, check boxes and radio buttons, even if they are not sentences.
However, style guides do not all coincide with each other and sometimes change. For example, the Windows UX Guidelines used to recommend the use of capital letters in the title style for buttons and menu items, but now recommends the use of capital letters in the style of prayer. Title-style capitals are only recommended for tabs, window titles, pages, programs, folders, and other "main components."
In these gray areas, the capitalization style is primarily a matter of, uh, style. Sentence-style capital letters give your application a more conversational tone, as if the user were interacting with an agent instead of a tool, which may or may not be a good idea in your case. I suspect that capital letters in the title style can make it easier to scan keywords on labels, but that's just a hunch.