Code:
Sub ConvertToProper()
    Dim lng As Long
    lng = Cells(Rows.Count, "E").End(xlUp).Row
    Range("E2:E" & lng).Value = Evaluate("=IF(E2:E" & lng & "<>"""",PROPER(E2:E" & lng & "),"""")")
End Sub
You can shorten that Evaluate statement slightly by doing it this way...
Code:
Sub ConvertToProper()
  Dim lng As Long
  lng = Cells(Rows.Count, "E").End(xlUp).Row
  Range("E2:E" & lng).Value = Evaluate("IF(ROW(),PROPER(E2:E" & lng & "))")
End Sub