This is true. Russian grammar, and English grammar differ with captilization rules quite a bit. In English - months, days of the week, entire names of businesses such as "Bank of America", names, and what not are capitalized. However, in Russian - months and days of the week are not capitalized, and only the first name of a business, or similar companies, will be capitalized. For example, in Russian it would be "Bank of america."
Any pronoun such as я, ты, он, etc. will only be capitalized at the beginning of a sentence.