property Calendar.WeekDays as String
Retrieves or sets a value that indicates the list of short names for each week day, separated by space.

TypeDescription
String A string expression that indicates the list of short names for each week day, separated by space.

By default, the WeekNames is "S M T W T F S". Use the FirstDay property to change the first day of the week. Use the MonthNames property to define the name for each month. The LocWeekDays property specifies the name of the days in the week,  using the current user regional and language settings. 

The following sample shows how to use three letters for each week day:

Private Sub Form_Load()
    With Calendar1
        .WeekDays = "Sun Mon Tue Wed Thu Fri Sat"
        .AutoSize = False
        .FixedCellHeight = 18
        .FixedCellWidth = 32
    End With
End Sub