Not sure if this is the easiest way of doing it but it should work:
First you will have to split up the string into the month and year (where $date is the 032001 string):
$month = substr( $date, 0, 2 );
$year = substr( $date, 2, 4 );
Next make a date using the fields:
$newdate = mktime( 12,0,0,$month,1,$year );
This will make the date for 12 noon on the first day of the month.
Lastly make the output string in the format that you want:
$output = date( "F Y", $newdate );
That should give yo a string that you can print which should be "March 2001".
You should be able to write a routine that subtracts one from $month if $month is greater than 1 otherwise make it 12 and subtract one from $year to give you the previous option. Then feed it into the mktime and date functions.
Hope that helps.