How to change the date of a Calendar instance in Java?

You're currently passing an int to SimpleDateFormat... you should pass the Date value. You don't need a Calendar at all for that:

// BAD CODE: DON'T USE - KEEP READING
import java.text.*;
import java.util.*;

public class DayOfWeek {
    public static void main(String[] args){
        System.out.println("Enter the date (Format: MM DD YYYY) :");
        Scanner sc = new Scanner(System.in);
        String month = sc.next();
        String day = sc.next();
        String year = sc.next();
        int m = Integer.parseInt(month);
        int d = Integer.parseInt(day);
        int y = Integer.parseInt(year);
        // Note the changes here
        Date date = new Date(y - 1900, m - 1, d);
        SimpleDateFormat sdf = new SimpleDateFormat("EEEE");
        System.out.println(sdf.format(date).toUpperCase());
    }
}

I've put the warning there because you're using a deprecated Date constructor - and it's deprecated for good reasons. Basically, java.util.Date is a terrible API and you should avoid using it if you possibly can. Your original call to new Date(y, m, d) was broken because the first parameter to java.util.Date(int, int, int) represents the year with a 1900 base (so a value of 117 means year 2017) and the second parameter represents the month with a 0 base (so a value of 6 means July). Then there's the implicit time zone conversion, which you really don't want.

You'd be much better off using java.time, and in this case the LocalDate class:

import java.time.*;
import java.time.format.*;
import java.util.*;

public class DayOfWeek {
    public static void main(String[] args){
        System.out.println("Enter the date (Format: MM DD YYYY) :");
        Scanner sc = new Scanner(System.in);
        String month = sc.next();
        String day = sc.next();
        String year = sc.next();
        int m = Integer.parseInt(month);
        int d = Integer.parseInt(day);
        int y = Integer.parseInt(year);
        LocalDate date = LocalDate.of(y, m, d);
        DateTimeFormatter formatter = DateTimeFormatter.ofPattern("EEEE");
        System.out.println(formatter.format(date).toUpperCase());
    }
}

Finally, your approach to parsing the user input isn't ideal either - I'd suggest using a DateTimeFormatter for that, too:

import java.time.*;
import java.time.format.*;

public class DayOfWeek {
    public static void main(String[] args){
        System.out.println("Enter the date (Format: MM DD YYYY) :");
        DateTimeFormatter parser = DateTimeFormatter.ofPattern("MM dd yyyy");
        Scanner sc = new Scanner(System.in);
        String line = sc.nextLine();
        LocalDate date = LocalDate.parse(line, parser);
        DateTimeFormatter formatter = DateTimeFormatter.ofPattern("EEEE");
        System.out.println(formatter.format(date).toUpperCase());
    }
}