Generally, you do not capitalize "confidential." It's an adjective, and adjectives are usually lowercase unless they are part of a proper noun.
Exceptions:
* When it's part of a title: If "confidential" is part of a formal title, such as "Confidential Information," then you would capitalize it.
* When it's used as a proper noun: If you're referring to a specific document, file, or program named "Confidential," then you would capitalize it.
Examples:
* Not capitalized: "This information is confidential."
* Capitalized: "The document marked 'Confidential' contains sensitive information."
Always consult the specific style guide or document requirements if you are unsure.