With the new keyword they are building an anonymous object with only those four fields. Perhaps Orders has 1000 fields, and they only need 4 fields.
If you are doing it in LINQ-to-SQL or Entity Framework (or other similar ORMs) the SELECT it'll build and send to the SQL Server will only load those 4 fields (note that NHibernate doesn't exactly support projections at the db level. When you load an entity you have to load it completely). Less data transmitted on the network AND there is a small chance that this data is contained in an index (loading data from an index is normally faster than loading from the table, because the table could have 1000 fields while the index could contain EXACTLY those 4 fields).
The operation of selecting only some columns in SQL terminology is called PROJECTION.
A concrete case: let's say you build a file system on top of SQL. The fields are:
- filename VARCHAR(100)
- data BLOB
Now you want to read the list of the files. A simple SELECT filename FROM files in SQL. It would be useless to load the data for each file while you only need the filename. And remember that the data part could "weight" megabytes, while the filename part is up to 100 characters.
After reading how much "fun" is using new with anonymous objects, remember to read what @pleun has written, and remember: ORMs are like icebergs: 7/8 of their working is hidden below the surface and ready to bite you back.