Here is another way of doing it using a CTE instead of a table, but I don't understand the request that the report shouldn't use another table. Who cares what happened behind the scenes if the report brings the requested data and has no performance problems?

declare @date datetime

set @date = '20090501';

with DaysInMonth as (

select @date as Date

union all

select dateadd(dd,1,Date)

from DaysInMonth

where month(date) = month(@Date))

select * from DaysInMonth where month(date) = month(@Date)

Adi