Jonathan,

Nearly but not quite, that just gets next thursday. Not the next first thursday of the month.

Here's another version loosely based on your Tally table idea.

I'll try to explain what it does:

1. Gets all days for this and the next month.

2. Reduces that set to just Thursdays

3. Ranks partitioned by month, to number the Thursdays 1 - n

4. Gets the top Thursday with a rank of 1 that is greater than the target date

DECLARE @now DATETIME = '20120201'

SELECT TOP 1

theDay

FROM

(

SELECT

theDay,

--==

--==Rank the thursdays 1-4 (or possibly 5)

--==

theRank = RANK() OVER(PARTITION BY MONTH(theDay) ORDER BY theDay)

FROM

(

--==

--==Get all the days in this and next month

--==

SELECT

DATEADD(dd,n-1,DATEADD(mm, DATEDIFF(mm,'19000101',@now ) ,'19000101')) theDay

FROM

Tally

WHERE

N <=

DATEDIFF(dd,

DATEADD(mm, DATEDIFF(mm,'19000101',@now) ,'19000101'),

DATEADD(mm, 2+DATEDIFF(mm,'19000101',@now) ,'19000101'))

) alldays

WHERE

--==

--==Get just the Thursdays (note the adjustment for a DATEFIRST setting other than 7)

--==

(@@DATEFIRST + DATEPART(dw,theDay)) % 7 = 5

) Thursdays

WHERE

theRank = 1-- The first thursday

AND

theDay > @now-- After the target date

ORDER BY theDay