Most countries have some sort of open-container laws - you are not allowed to consume alcoholic beverages on the street. In Madrid (or Spain in general), the police are fairly lax about the consumption of beverages on the street.
On one of the first nights I was in Madrid I walked around the Tribunal area of the city, a bit east of where I live and a bit north of Chueca, the gay district. I came across a square filled with young people sitting in small groups of about 6.
At first I thought it was a game they were playing, or a protest they were planning, but when I got closer I realized that the groups of young people had beer, wine, and snacks or sandwiches (bocadillos) with them. I then remembered a tidbit from one of my guidebooks: young people, instead of going out to bars to eat tapas for dinner, buy beer and wine and some snacks at a cheap supermarket and sit in a square to enjoy them. This activity is called a botellón.
The MISTI-Madrid kids wanted to see what was so fascinating, so we had a botellón of our own. We brought wine, cheese, bread, jamón, and oranges to the Parque de la Montaña near the Templo de Debod close to where I live and sat, talked, laughed, and had dinner. It was great! The evening is much cooler and more pleasant than the sun and heat of day, so the thing to do and socialize (whatever day, not just the weekend), starting at 9pm or so, is to go sit in a park, enjoy the company, the cool of the evening, and the food. It's also a great way to save money, since buying alcohol and food at a supermarket is much cheaper than buying it at a bar or restaurant!