proper-name capitalization

Why do English people capitalize every word of a proper name? As in, "Why I Stopped Caring And Started To Love The Bomb". This is seriously weird to a non-native when he finds phrases like "Plot Summary" [sic] on Wikipedia.

Yeah, it's offtopic, but it's not like there's anything going on.

Because we're superior to you.

Cool story, bro.

Because if you are European, chances are you do it too. And if you are Asian, chances are you don't have capitalisation to begin with.