"Last January" certainly refers to the most recent such month in history. "Last January" means January 2010. "Last September" means September 2009.

I can't think of a situation where "this" refers to the past. I would not say "this Monday" to mean 3 days ago. I would say "last Monday." Or maybe "Monday this week" or "the past Monday."

"This Monday" refers to the future.

There is some potential for ambiguity in saying "next Sunday," for example, on Friday. You could mean next week's Sunday, or the day 2 days from now.

On Monday, "next Sunday" would mean 6 days away. But "this Sunday" always refers to the first upcoming Sunday.