First day of the week in Vista depends upon which part of the world you are in (locale you have selected in Control Panel | Regional and Language Options). Well, it turns out that there’s a setting in the registry that controls the first day of the week. Once you change this, both default Vista calendar and the sidebar gadget reflect the change.
HKEY_CURRENT_USER\Control Panel\International – iFirstDayOfWeek
0 = Monday, 1 = Tuesday, 2= Wednesday, 4 = Thursday, 5 = Friday and 6 = Sunday.
Note: Backup your registry before editing it.