That was true in DOS. It might even be true in Win9x/WinME. It certainly isn't true in WinNT and later. Try this:

C:\> type con | perl -pe "tr/a-zA-Z/A-Za-z/"
This is a test
tHIS IS A TEST
This is the SECOND line I've typed
tHIS IS THE second LINE i'VE TYPED
^Z
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                - tye