**Hint**. Just apply the definition. An orthodox semigroup is a regular semigroup whose set of idempotents forms a subsemigroup. Thus you are looking for a regular semigroup in which there are two idempotents whose product is not idempotent. You should be able to find a 5-element regular semigroup with this property.
**Edit**. See this answer for a complete description of the minimal counterexample.