In Addition to Shweta Nikhil Mishra
I have update the query
Declare @FromDate Date='01/01/2014'
Declare @ToDate Date='03/01/2014'
create table #temp( MonthsName varchar(50));
While @ToDate>=@FromDate
BEGIN
insert into #temp values(DateName(MM,@FromDate))
set @FromDate=DateAdd(mm,1,@FromDate)
END
select * from #temp
drop table #temp