You don't have to loop - Enum.GetNames returns the names, and string.Join concat them together into a single string:
 // mon, tue, wed, thur, fri, sat, sun
 Console.Write(string.Join(", ", Enum.GetNames(typeof(weekdays))));
in case you want int values:
 // 0, 1, 2, 3, 4, 5, 6
 Console.Write(string.Join(", ", Enum.GetValues(typeof(weekdays)).Cast<int>()));
Edit: if you insist on loop I suggest foreach one:
 // mon == 0 ... sun == 6
 foreach (var item in Enum.GetValues(typeof(weekdays))) {
   Console.WriteLine($"{item} == {(int) item}"); 
 }
In case of for loop
 // do not use magic numbers - 0..7 but actual values weekdays.mon..weekdays.sun 
 for (weekdays item = weekdays.mon; item <= weekdays.sun; ++item) {
   Console.WriteLine($"{item} == {(int) item}"); 
 } 
However, in real world applications, please, use standard DayOfWeek enum.
Edit 2: your own code (in the question) improved:
 static void Main(string[] args) {
   for (int i = 0; i < 7; i++) { // do not use magic numbers: what does, say, 5 stand for?
     // we want weekdays, not int to be printed out
     weekdays wd = (weekdays) i;
     Console.WriteLine(wd);
   }
   Console.Read();
 }
Edit 3: your own code (in the answer) improved:
 // you have to do it just once, that's why pull the line off the loop 
 string[] s = Enum.GetNames(typeof(weekdays));
 // do not use magic numbers - 7: what does "7" stands for? - 
 // but actual value: s.Length - we want to print out all the items
 // of "s", i.e. from 0 up to s.Length    
 for (int i = 0; i < s.Length; i++)
   Console.WriteLine(s[i]);