you will need to modify the date picker code for this.
see this thread for detaiils on modifying the date format:
showthread.php?t=17433
see this thread for details on modifying the month names:
showpost.php?p=98219&postcount=4
same technique would be used for changing the day names. More details can be found in the jquery documentation:
dateFormat:
Datepicker#option-dateFormat
dayNames:
Datepicker#option-dayNames
monthNames:
Datepicker#option-monthNames