[Edit] Ack, thought I had scrolled down all the way, apparently I was wrong.

Since I've posted anyways, might as well mention that doing it this way automatically adjusts for language settings.

set language spanish

select DATENAME(m,DATEADD(m,1,-1))--Enero

select DATENAME(m,DATEADD(m,2,-1))--Febrero

select DATENAME(m,DATEADD(m,3,-1))--Marzo

select DATENAME(m,DATEADD(m,4,-1))--Abril