"I am Finnish."
Translation:Minä olen suomalainen.
Most things, like titles, nationalities, weekdays, months, holidays (unless they are loans like "Halloween") etc. are not capitalised. So you write e.g.
Monday - maanantai
January - tammikuu
Christmas/Yule - joulu
If you write names of books, films etc. only the first word is capitalised (unless there's a name in the title):
The Lord of the Rings - Taru sormusten herrasta
Hmm, I'm sure there are other (major) differences, but I can't think of anything else at the moment... In general capital letters are not really used all that often.