Rather than using the Tally method have you considered using a CTE, the code below would work just as well and be a little more flexible.

DECLARE @DateFrom as DateTime

Declare @DateTo As DateTime

Select @DateFrom = '01-Jan-2000', @DateTo='31-Dec-2010'

;WITH GetDateId(Id,MonthDate) AS

(

SELECT CAST(@DateFrom as Int) AS Id,@DateFrom DaysDate

UNION ALL

SELECT Id + 1,Cast(Id+1 as DATETIME) MonthDate

FROM GetDateId gr

Where Cast(Id as SmallDateTime) < @DateTo

)

SELECT

MonthDate,

Upper(Left(DateName(M,MonthDate),3))+'-'+Right(Year(MonthDate),2)

FROM

GetDateId

WHERE MonthDate>=@DateFrom

OPTION (MAXRECURSION 0);