Fabfab is correct.
Thankfully he didn't come to the party = We owe him thanks for not showing up at the party.
Fortunately he didn't come to the party = We were in luck that he didn't show up at the party.
We thankfully acknowledge receipt of sth. = We received sth. and are grateful to you for sending it.
We fortunately received sth. = We received sth., there was some doubt that we'd get it, but luck was with us and we did receive it.