In general, we only capitalize the first word in a proper noun (unless one of the next words also requires capitalization). For example, “la République française”, “l’Assemblée nationale” (but “le Royaume de Belgique” because “Belgique” is itself a proper noun). So the proper way would be “la Voie lactée”. An adjective would only be capitalized if it is before the noun it qualifies (e.g. “le Nouveau Testament”).