Here's an alternative that doesn't use a recursive CTE to generate the dates.

DECLARE @d1 datetime, @d2 datetime

DECLARE @n int

SELECT

@d1 = '20090831',

@d2 = '20090904',

@n = DATEDIFF(day,@d1,@d2)

SELECT

DATENAME(dw,date)

FROM

(

SELECT TOP (@n)

date = DATEADD( day,

ROW_NUMBER()OVER (ORDER BY t1.name)-1,

@d1)

FROM

sys.columns t1, sys.columns t2

) d

WHERE

DATENAME(dw,date) NOT IN ('Saturday','Sunday')

I notice that your solution excludes the end date (@EndDt) in the count, is that intentional?

The above solution does the same. If you need to include the end date change the line:

@n = DATEDIFF(day,@d1,@d2)

to

@n = DATEDIFF(day,@d1,@d2)+1

Alternative solutions could use either a Tally or Calendar table.