This option set the first day of week by setting the property CalendarComponent.FIRST_DAY_OF_WEEK.
The code below changes the first day of week to Tuesday: 
<CODE>
CalendarComponent calendarComponent = new CalendarComponent();
calendarComponent.setCalendarProperty(CalendarComponent.FIRST_DAY_OF_WEEK, new Integer(java.util.Calendar.TUESDAY));
</CODE>
