I've been at it three times, it's a great night out. Basically it's held in every town and city around the country, and showcases local bands and groups. Great thing is that it's held on the streets, and is free to go to. You just walk around, and on most streets or squares there are stages of varying sizes with live music. Usually rock music, but you'll find folk, trad, hip hop etc etc.
I've been at it in Paris, La Rochelle and Annecy. I didn't enjoy Paris as much as the others, as there were a lot of dodgy types around causing hassle. You'll be grand if you keep to yourself though, obviously. They actually had good techno etc djs playing on some streets there (more my scene), which was cool.
Annecy was my favourite though, a smaller town, and a better vibe.
All around though, great night out, for the atmosphere as much as anything.
As for it being Thursday - head over Thursday afternoon and make a long weekend of it!
Was in the south of France for it one year- amazing night out and unbelievable atmosphere. Musicians on every street corner, outdoor food stalls, thousands of people milling about. I'd definately recommend it