Days of the week in English are, as proper nouns, always capitalized. In North American English, days of the week can also be used in an adverbial sense, such as "I go grocery shopping Mondays." So even though "Mondays" is technically an adverb in this sentence, it is still capitalized because of its origin as a proper noun. 

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Of course in German, all nouns are capitalized, and days of the week too. However, there are also cases in German where the days of the week are used in an adverbial sense, and we English native speakers must fight our instinctive tendency to try and capitalize these words. The days "Wednesday" and "Thursday," for example: 

Ich möchte euch gerne die Wochentage beibringen...

I would like to teach you the days of the week...

Mittwoch, Donnerstag...

Wednesday, Thursday...

Captions 2-7, Lydia erklärt - Wochentage, Jahreszeiten und Monate

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Wir unterrichten an zwei Tagen

We teach on two days

während der Woche, mittwochs und donnerstags.

during the week, Wednesdays and Thursdays.

Captions 25-26, Lokalhelden - Art House

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In the first example, the nouns Mittwoch and Donnerstag are capitalized, but the second example mittwochs and donnerstags are adverbs and thus remain lower case. 

Man kann einfach, ähm,

One can simply, um,

sich wirklich mal schön locker machen am Freitagabend.

be really nice and relaxed on a Friday evening.

Caption 45, Frankfurt - Der Friedberger Platz

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Was ist das Schöne hier freitagabends herzukommen?

What is the nice thing about coming here on Friday evenings?

Caption 42, Frankfurt - Der Friedberger Platz

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In the above examples, it is clear that am Freitagabend is dealing with a noun, because of the definite preposition am, and the -s ending is a sure clue that freitagabends is an adjective that should be written lower case. 

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Further Learning
Brush up on your days of the week in their noun and adverbial forms on Yabla German.