A common noun for Thursday would be "day".
Nouns name people, places, and things. Every noun can further be classified as common or proper. A proper noun has two distinctive features: 1) it will name a specific [usually a one-of-a-kind] item, and 2) it will begin with a capital letter no matter where it occurs in a sentence.
Common Noun/Proper Noun Examples (from K12Reader.com):
man/James
woman/Julie
state/California
company/IBM, General Motors
store/Neiman Marcus
restaurant/Applebee’s
mountains/Mckinley
countries/Ireland, France, America
waitress/Betty
chair/La-Z-Boy
soldier/Lieutenant Mark Davis
river/the Mississippi River
institution/University of Georgia
Remember, however, that just because it is capitalized doesn’t mean it is a proper noun. YourDictionary.com shares the following examples to see capitalized words that are not proper nouns:
My Italian neighbor likes to cook homemade pasta. (Italian might be proper, but it is not a noun. In fact, it is a proper adjective, because it describes the nationality of the neighbor.)
If you want to drink a Californian wine, go to a winery in Napa Valley. (Although Napa Valley is a proper noun, Californian is not, because it is again a proper adjective that describes the kind of wine.)