Always capitalize the first word of dialogue, even if there’s part of the sentence as a whole before it.
When there’s a new speaker, begin a new paragraph.
He said, “Don’t you feel lonely living in your own little world?”
She whispered, “Don’t you feel powerless living in other people’s worlds?”
If the tag falls in the middle somewhere, though, don’t capitalize the first word after the tag: “Don’t you feel powerless,” she whispered, “living in other people’s worlds?”