In its section on "Quotations and Dialogue: Permissible changes to punctuation, capitalization, and spelling" [Section 13.7, if you have a subscription] the Chicago Manual of Style says:
The initial letter may be changed to a capital or a lowercase letter.
It expands further:
To suit this requirement, the first word in a quoted passage must
often be adjusted to conform to the surrounding text. In most types of
works, this adjustment may be done silently... In some types of works,
however, it may be obligatory to indicate the change by bracketing
the initial quoted letter; for examples of this practice, appropriate
to legal writing and some types of textual commentary, see 13.16.
So:
"We learn who we really are and then live with that decision." ~
Eleanor Roosevelt
—or—
"[W]e learn who we really are and then live with that decision." ~
Eleanor Roosevelt
The latter would be used in a work where more rigor was required.
Addendum: The Chicago Manual raises a valid point that others responding to this question have echoed:
Authors drawing on the work of others to illustrate their arguments
should first decide whether direct quotation or paraphrase will be
more effective.