Actually, "Black Friday" (the day after Thanksgiving, which is always the 4th Thursday in November) is almost universally a school holiday in the US, so far as I know. And although it's not a federal holiday, some state and city governments close for Black Friday. The practical reason for closing is that so many people travel (sometimes long distances) to visit their families on Thanksgiving. So closing on Friday allows people more time to return home, and arguably reduces highway accidents from people driving late at night and half-drunk immediately after Thanksgiving dinner on Thursday.
Well, Thanksgiving has always symbolically been a "harvest holiday" that marks the ending of autumn and the arrival of winter. Since Canada is north of the US, their harvest comes earlier, so it makes sense that Canada would celebrate Thanksgiving before the US. (In Canada, it's the 2nd Monday in Oct -- thus almost a month-and-a-half earlier than in America.)
According to Wikipedia, US Thanksgiving as an "official holiday" began in 1963, when Lincoln proclaimed a day of thanks to improve the national morale during the Civil War. Originally, Thanksgiving was on 26 November, but later it was tied to the 4th Thursday, and not to a specific date.
On the other hand, Canadian Thanksgiving only began in 1957 -- apparently, Canada thought that US Thanksgiving was generally a good idea in practical terms (it's a quasi-religious holiday that is not linked with a specific faith; it helps the economy a bit by encouraging consumers to spend money on a big dinner and on travel; it provides an excuse for people to visit with the families).