Sundays and Mondays. There are five 22 min. episodes per week (four of Paul with each of his patients, the fifth where he's with his own therapist), with the first two airing on Sundays and the rest airing as all five on the next Monday.

That said, the season just finished, so I'd suggest starting with Season One (which I haven't yet; I hear it's excellent, but not as consistently strong as Season Two), or if you have HBO On Demand, you can watch 'em all up there now!