Well, see what an education this is site is, Sophie. And for native speakers as well -  English speakers like Mike and myself are learning just as much about our own language as we are about foreign ones...

To answer your question, Mike, no, never. As in all varieties of English, a single 'day' is always 'on'. On Sunday. On your birthday. If we're looking for logic, the nearest I can get to a rule is that 'the weekend' is a mini-holiday period. We say 'at Christmas' 'at Easter' and so on, so 'at the weekend'.

As for ears burning, well, that's a key difference between Britain and the US. Many American forms don't sound odd to us, because we have so much cultural and media exposure to them. If a British person, especially a younger one, were to say 'on the weekend', probably nobody would notice.

By the way, Sophie, don't worry about mixing British and American English. Just align yourself with your fellow southern hemisphere islanders, the Australians. They mix them the whole time. Though, interestingly, they tend to say 'on the weekend'. This is one of the few grammatical areas where Australians side with the American usage rather than the British. So, take your choice.

Thank you Su Ki for your explanation and your encouragement :)

Exactly, Jose. 'On the weekend' is American English. 'At the weekend' is British English.  

That's the only difference.

@ aegis : For sure she will be impressed!!

I just discovered why I was always hesitating between "at" and "on" . I'm mixing British English and American English .... Great!!

@Claudio - to impress your gf, you can say "All week long, baby!"