• Collins Dictionary says "You use last in expressions such as last Friday, last night, and last year to refer, for example, to the most recent Friday, night, or year."
• Longman Dictionary of Contemporary English Online says "Last is most recent or nearest to the present time".
This means "last February" is not "last year's February", "last February" is "the most recent February", and in July 2014 the most recent February was February 2014.
As for this February, Collins dictionary says (meaning 8) "You use this to refer to the next occurrence in the future of a particular day, month, season, or festival."
We're getting married this June.
It means that from the standpoint of June 2014 "this February" would mean February 2015.
Longman Dictionary of Contemporary English Online puts it a bit differently: "This is used to talk about the present time or a time that is close to the present" which means that "this February" would mean "February 2014" since it is the closest February to June 2014.
Anyway, "last February" is February 2014.