You need to use a combination of two functions.

DayOfWeek gives the numerical day of the week.  WeekdayName gives the name of the day for a given numerical value.  So, you combine that like so:

WeekdayName( DayOfWeek( {MyReport.MyDate} ) )

You can add in some other options, based on first day of the week and whether you want it abbreviated.  But, this is the basic syntax.