Can this also be translated as "Thursday is a day in the week?". The whole i/på thing is still a bit confusing
You can :) I did and although it suggested the other solution, mine was right :D
In general, all phrases have "swedish style"; meaning, it is in order to keep the swedish language as much as possible to understand it better and to think swedish.
so "i veckan" does not mean "this week" in this context? how would you say "this week"?
"I veckan" can mean "this week", but since your sentence is kind of self evident since there's a Thursday every week that would be an unlikely translation. If you really want to unambiguously say "Thursday is a day this week" though, you would say "Torsdag är en dag (i) den här veckan".
You cannot say "dag av veckan", Swedish doesn't use "av" the way English uses "of". But you can say "veckodag" here.
What is the difference between: veckan VS. helgen? They do both mean 'the week' don't they?
Helgen only reffers to the end of the week. Usually Saturday to Sunday, but there are exceptions where you may use the word långhelg when the weekend is extended during for example a bank holiday.
Monday one day, Tuesday two days, Wednesday when what huh, THURSDAY. It's the THIRD DAY.
No, we cannot. It's "en dag i veckan" like in this sentence or "en veckodag".