This is really a matter of style, not necessarily grammar. So depending on your style it can be either, but in general no, its not capitalized. If I were to make that title I would not capitalize it. However, you do see titles where every word is capitalized, depending on if it is an advertisement and the attention you are seeking etc.. I personally think it looks funny when you capitalize the connecting words.

As David M. says, it is a matter of style. In British English, we now generally use the same convention for titles as for plain text - nothing is capitalised apart from the first word and proper nouns. American English is more traditional, as it still capitalises all the meaningful words in titles. Non-meaningful words (articles, prepositions and so on) are not usually capitalised. However, as David says, you do sometimes comes across titles where all the words have initial capitals. I don't think it matters too much.