To filter an announcements list by month on a MOSS 2007 or SharePoint 2010 site, I like to create a new calculated column based on the Created column in the list, and then create filtered views for each month.
1) Create a new calcluated column named Month, and use the following formula:
=TEXT(Created,"yyyy - ")&TEXT(Created,"mm")&TEXT(Created," (mmmm")&TEXT(Created," yyyy)")
The resulting column output will look like this: 2012 - 05 (May 2012)
2) Create a new view for each month.
On the list, go to Settings, Create View, Standard View. Give it a name. Configure your filter options as shown here:
All done.