Case Sensitive Object Names
In a default installation of SQL Server the collation for the server and its databases is generally set to "SQL_Latin1_General_CP1_CI_AS" CP1 = Code Page 1, CI = Case Insensitive and AS = Accent Sensitive.
However, collation can be set at the database level:
CREATE DATABASE [BinaryDB] ON PRIMARY
( NAME = N'BinaryDB'
, FILENAME = N'D:\SQLData\BinaryDB.mdf' )
( NAME = N'BinaryDB_log'
, FILENAME = N'E:\SQLLog\BinaryDB_log.ldf')
and at the column level of a table:
CREATE TABLE MyBinarySortTable
(Column1 varchar(10) COLLATE SQL_Latin1_General_BIN)
If the database collation is set to a Binary collation or a Case-Sensitive collation like "SQL_Latin1_General_CP1_CS_AS" then all references to object names must be case-correct. From your post I would assume that your installation of AdventureWorks is case-sensitive. You can check this by looking at the Options page of Database properties in Management Studio or query the sys.databases system view:
SELECT name, collation_name FROM sys.databases
SQL commands are not case-sensitive regardless of the server collation so "select" and "where" will work just as well as "SELECT" and "WHERE" will.
There is a good description of the collation settings and their effect on data retrieval in Chapter two of the Beginning SQL Server 2008(2005) Administration books. (Shameless plug for another WROX Book <grin>)
Hope this helps!