Titles for literary works -- books, songs, plays etc -- are capitalised according to the following rules:
The first letter is always capitalised.
Proper nouns are always capitalised (as you'd expect).
Most other words are capitalised except for short words which have a purely grammatical function.
Here are some examples:
Harry Potter and the Goblet of Fire
Gone with the Wind
The Wind in the Willows
One Flew Over the Cuckoo's Nest
The Colour of Magic