There a few links that I have found that will make it a little more fun for you to study your states and capitals.  

USA Games

Try the tutorial or Level 1 part first before you try Level 2.  This game can be played with all fifty states or certain regions.

http://www.sheppardsoftware.com/web_games.htm

Fun Brain:  Where is That?

This game has different levels.  Start with the first one and work your way up.  Make sure you are on the United States map.

http://www.funbrain.com/where/

Interactive Map of the United States

At this site it will have a map you can run the cursor over to see the name of the state and it capital.  Try the U.S. states and capitals puzzle link when you get there.  It will help with you get better at finding where each state is located as well as the states and capitals.

http://www.yourchildlearns.com/us_map.htm

50 State Capitals, a Free Puzzle and Board Game from AddictingGames: If you thought 50 States was hard, you're going to find this impossible. ... 

http://www.addictinggames.com/50statecapitals.html 

50 States, a Free Puzzle and Board Game from AddictingGames: If you can master the east coast states, you're a genius.

http://www.addictinggames.com/50states.html