Try something like this:
select OrderDate
from Orders
inner join
(
select
datepart(yyyy, max(OrderDate)) as 'lastYear',
datepart(mm, max(OrderDate)) as 'lastMonth'
from Orders
) xxx
on (datepart(yyyy, Orders.OrderDate) = xxx.lastYear)
and (datepart(mm, Orders.OrderDate) = xxx.lastMonth)
where (datepart(dw, OrderDate) between 2 and 6)
Not perhaps as efficient as it could be but its a good enough starting point for you.
Joe