Esther 9:31 (ESV)

31 that these days of Purim should be observed at their appointed seasons, as Mordecai the Jew and Queen Esther obligated them, and as they had obligated themselves and their offspring, with regard to their fasts and their lamenting.

Esther’s instructions went further than those of Mordecai. In celebrating the Purim, the Jews were not only to celebrate with feasting and joy. They were also to commemorate the mourning, prayer, and fasting that preceded the victory (see Esther 4:1–3, Esther 4:15–17). Both the danger and the deliverance had to be remembered by all coming generations. With this second letter, Esther ensured that the Jews would remember that the way in which God had brought about their salvation was a way of prayer and tears.

It is not said on what days Esther instructed the Jews to observe times of fasting and lamentation. However, it makes sense that this would occur on the thirteenth of Adar, the day before the joyous celebrations were to begin. This is also how the Purim feast came to be celebrated by Jews, up until today.