When you write anything, you choose your letters from two different alphabets ... big letters and small letters.
The small ones look like this: a-b-c-d-e
The big ones look like this: A-B-C-D-E
The big ones are called "capital letters".
When you have to write a letter and you decide to use the big one, you "capitalize" that letter. It just means that you write it with the big one.
In English, you always capitalize the first letter in a sentence, and the first letter in a name.
The correct answer is the third one
