northern, easter, western, southern (capitals or lower case?

Is there a rule in grammar that says when northern, southern, eastern, western should be capitals?

e.g northern Europe, Eastern Germany, western Russian, Southern France

I always want to have capitals

Is there a right or wrong?

Directions are not normally capitalized unless they are part of the name of a region that has more or less specific boundaries. Thus:

• northern Europe
  western Russia
  southern France
  Eastern Europe

:)

They are adjectives, so should only be capitalised when they are parts of names, or, as Ron says, recognised areas. ;-)