You're right :

I think I wrote the good instructions but a wrong SQL.

This might be better :

1) Add 1 month

2) Substract the day number of the previousresult :

DECLARE @mydate datetime='20080331'

SELECT...

Another way to do this :

1) Add 1 month

2) Substract the day number of the previous result :

DECLARE @mydate datetime='20080224'

SELECT DATEADD(day, -DATEPART(day, @Mydate), DATEADD(MONTH, 1, @mydate))