I have a table RoomRates with columns
RoomRateId (int), RoomType (int), Season(int),
Monday (decimal), Tuesday (decimal),
Wednesday (decimal), Thursday (decimal),
Friday (decimal),
Saturday (decimal), Sunday (decimal)
I reason that this structure of the table is breaking First Normal Form.
I have a foreign key on RoomType and Season.
Should I turn table's structure into:
RoomRateId(int), RoomType(int), Season (int),
DayOfTheWeek (int), Rate(decimal)
in order to not break First Normal Form?
I recommend you do not walk step by step through normal forms, because you will redo your previous work (and your team's work), unless you are practicing.
As a general rule designing databases, each field must exist once in the database. You also must group semantic data into tables, and link them with a foreign key.
I could do a full remake of your question's tables. You probably don't need a column for each day of the week. Did you think about whether instead of several columns you can use only one? The foreign key would be as light as possible (one column recommended, unless there does not exist any other way). Always think about whether your design will be useful for a huge amount of data, in terms of querying and storing.