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 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