As far as I know, there's no automatic way to handle it when entering data, you have to write your own routines.
It's not too bad conceptually. Just use the KeyPress event of the control you are working with. Have it check each keystroke and, if it's ascii value is between 97 and 122, it's a lowercase letter from a to z. Just use code to subtract 32 from it to get to the capital letter equivalents. Here's some sample code:
Private Sub txtName_KeyPress(KeyAscii As Integer)
If KeyAscii >= 97 And KeyAscii <= 122 Then
DoCmd.CancelEvent
SendKeys CStr(Chr(KeyAscii - 32))
End If
End Sub