Thanksgiving in October?

So the question that I have been posing, obnoxious and impudent American that I am, to my new Canadian acquaintances is this: Why do Canadians celebrate Thanksgiving? They claim that it is to celebrate the pilgrims and the "first nations" original harvest feast. So I wonder: Why is it that they're so adamant about not being proud NOT to be Americans and still celebrating the early American colonists? Either way, we all know that it's really a Thursday in November, not a Monday in early October. = )