Only one time you have the chance to state one of your castles as your Capital. By doing so, your castle cannot be conquered by your enemies, except when you are more than 14 days inactive. It is not obligatory to choose the castle when you start your game, you can save this option for later and use it at a later stage of the game.
The castle that every player gets in the beginning of his game, is The Capital (this is not true about World 3). This capital can be changed one time only from the Options menu. The castles of inactive players aren't treated by the rules for The Capital.