How to write a proper name in a paper

Proper nouns are always capitalized.  They do not get underlined, italicized, or put in quotes.  A title of a book, a movie, or an article have different rules that use those formats.  It may seem that software titles may follow those rules since they were written by a person and have the common description of being a title.  But it isn't so. 

To understand the difference...

A software program is distinctive enough to earn a proper noun, just as the Washington Monument is the name of one specific monument.  There is not likely to be another software program or monument by the same name.  A book, article, or movie title can't make the same claim. 

You would capitalize all major words in the name, e.g. Adobe Photoshop, Firefox, Linux, Microsoft Office, Return to Zork, Windows Media Player.