Another solution:

use strict;
my $string ="RRULE:FREQ=WEEKLY;BYDAY=TU,TH;UNTIL=20110429T000000;WKST=
+SU";
my($days) =  $string =~ /BYDAY=([^;]+);/;

my @days = split(/,/, $days);

print join("\t",@days);
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I see Ikegami already provided neat solutions!