This is the Indy 1500 forum, so I'm assuming he means that gun show.
It's busiest on Saturday from about 10:00 AM to early afternoon. If you're looking to buy something that someone else has brought to sell, that's when you'll see the most.
If you're looking for something specific from vendors, be there as early as you can on Friday. There will be 100+ of each model of current production plastic pistols, but there might be only one double-action .44 (for instance) at the whole show.
I've heard rumor that Sunday afternoon is the best time to get a deal from a vendor who doesn't want to cart stuff out, but I can't speak to the accuracy of that.
The best time is whatever time works for your schedule.
I like to go on Fridays to see what is available before being picked over.