I think that the following will give you what you are after
WITH MEMBER Measures.CurrentMonth AS 'SUM ( [Date].[Calendar].Currentmember.lag(11) : [Date].[Calendar].Currentmember, [Measures].[Internet Sales Amount])'
MEMBER Measures.PriorMonth AS 'SUM ( [Date].[Calendar].Currentmember.lag(12) : [Date].[Calendar].Currentmember.lag(1), [Measures].[Internet Sales Amount])'
Member Measures.Difference AS 'Measures.CurrentMonth - Measures.PriorMonth'
SELECT
{measures.currentmonth, measures.priormonth, Measures.Difference} ON COLUMNS
FROM
[Adventure Works]
where ([Date].[Calendar].[Month].[February 2004])