Hi there are option to change dates to different language spanish or other. by default is english.
In Windows the FormatSettings automatically are changed to the language of your OS. In Linux, you must add unit "clocale" to uses. No idea about Mac...
If you want a completely different language, I think you must use the translation system with po files anyway, and you must create resource strings for the month and day names so that they can be translated. Or you must put them into your code as winni showed.
[EDIT]
Just saw now that this post is related to LazReport. It could be that my response is not relevant...