Ash Wednesday is really called the Day of Ashes, but it does always occur on a Wednesday. Hence the Ash Wednesday moniker.
There is a reason why we have our heads marked with a cross of ashes on this day. In the bible, a mark on the forehead is a symbol of a person's ownership. By having our foreheads marked with the sign of the cross, it's a symbol that we belong to Jesus Christ, who died on a cross.
It is also an imitation of the spiritual mark that is put on a Christian at baptism.
The reason that ashes are used is because they are a biblical symbol of mourning and penance. They also symbolize death and remind us of our mortality. In fact, when the priest crosses our foreheads with ashes, he says, "Remember, man, that thou art dust and unto dust thou shalt return."