You can also use an inline Tally table:

DECLARE @Month DATETIME

SELECT @Month = '2009-02-01'

; WITH

t1 AS (SELECT 1 N UNION ALL SELECT 1 N), -- 2

t2 AS (SELECT 1 N FROM t1 x, t1 y), -- 4

t3 AS (SELECT 1 N FROM t2 x, t2 y), -- 16

Tally AS (SELECT ROW_NUMBER() OVER (ORDER BY (SELECT NULL)) N FROM t3 x, t3 y) -- 256

SELECT

N

FROM Tally

WHERE

N <= DATEDIFF(DAY, @Month, DATEADD(MONTH, 1, @Month))