Jack's solution made me think of this:

declare @dtmStart datetime = '06/01/2014',

@dtmEnd datetime = '09/01/2014';

with dates_in_range(date_date, date_name) as (

select DATEADD(day, t.N - 1, @dtmStart), datename(weekday, DATEADD(day, t.N - 1, @dtmStart))

from dbo.Tally t

where t.N < DATEDIFF(day, @dtmStart, @dtmEnd) + 1)

select date_date, date_name

from dates_in_range

where date_name = 'Wednesday';

You need to have a tally table or use Itzik's approach like Jack did to do it. If you aren't familiar with Tally tables yet, check out the article in my signature. They'll change the way you look at data.