Notice how in the calendar below (from my tutorial on how to create a quarterly calendar) has the first day of the week as Sunday.
What if I wanted to change it so that my start of the week is Monday? You're in luck.
Right click on your data source at the top left of Tableau and then click on 'Date Properties...'.
From here you can change the Date Properties of your data source without making any calculated fields. To change the start of the week, just go to 'Week start' and change it there.
And there you go!
Other things you can do in this window is to change the Fiscal year starting month. One example of a fiscal year is in the UK where the start month is April.
You can also change the date format of your data source. In here it gives you a variety of formats but you can also create a Custom one.