It is a pious Catholic practice (a longstanding one, at least in the case of the First Fridays) to set aside, each month, the first occurrences of certain days of the week in honor of some particular devotion. These devotions originate in private revelation — that is, in specific visions or other revelations to particular individuals. Such private revelations are not intrinsic to the Catholic faith, but rather are ancillary to it.

Each devotion entails a certain list of requested prayers or acts to be carried out on the first associated weekday of the month. Usually this is done for a certain number of consecutive months. Each devotion has various divine promises associated with it, according to the individual who received the revelation. Because these devotions all involve the worthy reception of Holy Communion, one must be Catholic in order to receive the various promises attached to these devotions. (Holy Communion does not need to be in the context of Mass, meaning the sick and homebound can participate in these devotions as well, by arranging to receive Communion on the appropriate days.)

As you can see from this summary table, three of these devotions (Wednesday, Thursday, and Saturday) originated from private revelations in the 20th century. The First Friday devotion is much earlier, given to Saint Margaret Mary Alacoque in the 17th century.

DevotionIn Honor OfGiven
First WednesdaysThe Pure Heart of Joseph1958
First ThursdaysThe Wounds of Our Eucharistic Lord1949
First FridaysThe Sacred Heart of Jesus1688
First SaturdaysThe Immaculate Heart of Mary1925

I have compiled here a summary of these devotions for your convenience.