Wow, this thing gets off-topic a lot sometimes.. Anyways, to answer the original question, you wouldn't even use the colon in the first place in that example, you would use a semi-colon and then *not* capitalize the first letter of the first word after it. But lets just say that you had an urge to use a colon instead for some reason, then I think that, (I've finally come to this conclusion after reading all the comments on this thread), yes you would capitalize it like you did in the example, but only if both clauses on either side of the colon can stand alone as sentences. I may be wrong about that, but thats what it seems to be after reading all the other comments. If the clauses on either side can not stand alone as sentences, *Don't* capitalize the first letter of the first word after the semicolon, only capitalize the first letter of the first word of the sentence.
However, if you have two sentences that you want to connect, I would rather just use a semicolon instead, it looks better, at least to me, and then you don't have to worry about this to capitalize or not to capitalize business, you just don't capitalize the word after the semicolon at all (unless it's a name or something).