Assuming @month = 5, and @year = 2011 and are integers:
SET DATEFORMAT dmy;
DECLARE @myDate DATETIME;
DECLARE @dateString varchar(10);
SET @dateString = CONVERT(int, @month) + '/01/' + CONVERT(int, @year);
SET @myDate = CONVERT(DateTime, @dateString);
There are probably better ways to do it, but this should work (I just typed it off the top of my head, so you may need to tweak it).