Because we know that the first Thursday of a month must be within 40 days of the selected date and must have a day number between 1 and 7, I can modify my original query with those parameters:

DECLARE@SelectedDateDATE = '2012-02-02' --GETDATE()

DECLARE@DesiredDayTINYINT = 5

SELECTTOP 1 NextDay, DATENAME(WEEKDAY, NextDay) AS NameOfDay

FROM(

SELECTDATEADD(DAY, N, @SelectedDate) AS NextDay

FROMTally

WHEREN <= 40

) x

WHEREDATEPART(WEEKDAY, NextDay) = @DesiredDay

ANDDAY(NextDay) <= 7

ORDER BY NextDay

I think it is that easy. Let me know if I missed something.