LINQ has "Contains" which is like "IN" but expressed the other way round - an element isn't "in" a set, a set "contains" an element.
int[] validIds = { 1, 4, 5 };
var query = from order in db.Orders
where validIds.Contains(order.Id)
select order
This is more simply expressed (IMO) with a lambda though:
int[] validIds = { 1, 4, 5 };
var query = db.Orders.Where(order => validIds.Contains(order.Id));
I realise lambdas are "new" and therefore scary to some extent, but it's really well worth grabbing hold of them with both hands. They're lovely.