Display Months in dropdown for filtering
Using the Date project, you can add a "Date: Date (node)" (D7, not sure how it is called in D6) filter, where you can choose the granularity. By setting it to month, it will display a list of months in the filter.

I looks like a "All month" option is however currently missing, so you can't display all months by default, it seems. See http://drupal.org/node/574820.