Easiest way to populate a temp table with dates between and including 2 date parameters
2011-01-01
2011-02-01
2011-03-01
2011-04-01
2011-05-01
2011-06-01
2011-07-01
2011-08-01

;WITH cte AS (
SELECT CASE WHEN DATEPART(Day,@StartDate) = 1 THEN @StartDate
            ELSE DATEADD(Month,DATEDIFF(Month,0,@StartDate)+1,0) END AS myDate
UNION ALL
SELECT DATEADD(Month,1,myDate)
FROM cte
WHERE DATEADD(Month,1,myDate) <=  @EndDate
)
SELECT myDate
FROM cte
OPTION (MAXRECURSION 0)

declare @StartDate datetime
declare @EndDate datetime
select @StartDate = '2011-01-01' ,  @EndDate = '2011-08-01'

select @StartDate= @StartDate-(DATEPART(DD,@StartDate)-1)

declare @temp  table
(
TheDate datetime
)
while (@StartDate<=@EndDate)
begin
insert into @temp
values (@StartDate )
select @StartDate=DATEADD(MM,1,@StartDate)
end
select * from @temp

DECLARE  @StartDate DATETIME
        ,@EndDate DATETIME;

SELECT   @StartDate = '20110105'
        ,@EndDate = '20110815';

SELECT  DATEADD(MONTH, DATEDIFF(MONTH, 0, DATEADD(MONTH, v.number, @StartDate)), 0) AS FirstDay
--or Andriy M suggestion:
--SELECT    DATEADD(MONTH, DATEDIFF(MONTH, 0, @StartDate) + v.number, 0) AS FirstDay
INTO    #Results
FROM    master.dbo.spt_values v
WHERE   v.type = 'P'
AND     DATEDIFF(MONTH, @StartDate, @EndDate) >= v.number;

SELECT  *
FROM    #Results;

DROP TABLE #Results;

FirstDay
-----------------------
2011-01-01 00:00:00.000
2011-02-01 00:00:00.000
2011-03-01 00:00:00.000
2011-04-01 00:00:00.000
2011-05-01 00:00:00.000
2011-06-01 00:00:00.000
2011-07-01 00:00:00.000
2011-08-01 00:00:00.000