Apparently. there is some controversy over this. It seems that it's a matter of opinion if you should use capital M or capital m.
Of course, you can always rephrase the question to avoid the debate:
Does the word begin with a capital letter?
Is the first letter of the word capitalized?
Does the word begin with M or m?
Personally, when I refer to letters as letters, I put them in italics. (Some people will put them in quotation marks.) Also, if I'm making a specific distinction between the uppercase version and the lowercase version, especially when writing them next to each other, I use the version I want to draw attention to. (As in the third example sentence above.) If the case of the letter is unimportant to the discusion, I use the lowercase version in italics—which is what The Chicago Manual of Style recommends.
Depending on how you view it, "a capital M" is fine, because the phrase is describing what the thing already is—it would be analogous to saying "a yellow banana" or "a cold ice cube." It could perhaps be considered redundant, but redundancies are frequently used in English to make ideas explicit.
On the other hand, it could be considered illogical to say "a capital M" because of an implication that you are taking an M and turning it into a capital form. (But, of course, that doesn't exist.)
So, avoid this particular issue altogether and rephrase your sentence in a similar fashion to the example sentences I provided—or simply stick to whatever style you want to use, assuming it doesn't conflict with a style guide you need to adhere to.