Just in case somebody find this usefull,
I followed the same steps that Dave wrote and I got override the class AdminOrdersControllerCore, the only difference I see is I'm working on PS 1.6
Path of core class:
controllers/admin/AdminOrdersController.php
Path of override class:
override/controllers/admin/AdminOrdersController.php
Main definition override class
class AdminOrdersController extends AdminOrdersControllerCore