Why do you have to loop? What is the requirement that states you have to process a single day at a time?

FWIW, you could build a stored procedure that accepts as input the date you want to search, and query for everything on that one date. Example:

CREATE PROCEDURE dbo.MySingleDaySearch

@inputDate datetime

AS

DECLARE @startDate datetime;

DECLARE @endDate datetime;

SET @startDate = dateadd(day, datediff(day, 0, @inputDate), 0); -- remove time portion

SET @endDate = dateadd(day, 1, @startDate); -- set the end date to tomorrow

SELECT ...

FROM dbo.MyTable t

WHERE t.MyDateColumn >= @startDate

AND t.MyDateColumn < @endDate;

GO

But, I gotta say that running this for a full month by 'looping' on each date is not the right way to solve the problem. If you posted the problem you are trying to solve - it might be easier for us to recommend a better solution than looping.