If a direct question contained in a sentence is long or has internal punctuation, set the question off with a comma and begin it with a capital letter:

The question posed to the MLA editors was, How should a question contained in a sentence be punctuated? 

The teacher wondered, Will my students ever understand how to incorporate a question in a sentence, or will they always do it incorrectly?

A single question contained in a sentence can also be preceded by a colon as long as the word before the question is not a verb. The question should start with a capital letter:

The answer left us with another question: When can a question be preceded by a colon?

Use lowercase letters to begin questions incorporated in series in a sentence:

Should I punctuate a question contained in a sentence with a comma? with a colon? with a dash?

In the example above, the questions in series are not capitalized because they are not complete sentences and do not begin with a proper noun.

But questions in series that are complete sentences are usually more appropriately styled with an initial capital letter:

I have several questions: What punctuation should I use? In what circumstances should I use it? What are the rules?