Hope that following should help you:
SELECT tf.EmpNo, tf.ChkDate
FROM filesTA tf
WHERE tf.ChkDate BETWEEN '20121001' AND '20121005'
AND NOT EXISTS (SELECT 1 FROM SalaryDay2 sd2
WHERE sd2.sEmpNo = tf.EmpNo
AND sd2.sDate = tf.ChkDate)
1. Never convert datetime to anything else (varchar or int) for datetime comparison.
If your SalaryDay2.sDate is varchar, convert it to datetime instead (or it will be properly implicitly converted if it's in ISO)
2. Note the format I've used - it's one of possible ISO variations: Year then Month then Day. You can use '1 Oct 2012', it will also work perfectly as month is explicitly known.
3. Used BETWEEN will only work properly if your datetime values do not contain time part. Otherwise, you should use greater-than-or-equal-to and less-than in WHERE clause for datetime filtering:
WHERE tf.ChkDate >= '20121001' AND tf.ChkDate < '20121006' --note the "to" boundary...
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