You may have to change the order of things for what you want...
<%
strMonth = Request("month")
Session("ccrmonth")= strMonth
strSQL = "SELECT * from oMonth Order By oMonth.omonth_id"
Set rs = conn.Execute(strSQL)
If not rs.eof then
strMonth = rs("month")
end if
rs.Close
Set rs = Nothing
%>
<form method="post" action=""
<select name="month" size="1">
<option value="">Select</option>
<option value="01" <% if strMonth="01" then response.write" SELECTED" end if %>>January</option>
<option value="02" <% if strMonth="02" then response.write" SELECTED" end if %>>February</option>
<option value="03" <% if strMonth="03" then response.write" SELECTED" end if %>>March</option>
<option value="04" <% if strMonth="04" then response.write" SELECTED" end if %>>April</option>
<option value="05" <% if strMonth="05" then response.write" SELECTED" end if %>>May</option>
<option value="06" <% if strMonth="06" then response.write" SELECTED" end if %>>June</option>
<option value="07" <% if strMonth="07" then response.write" SELECTED" end if %>>July</option>
<option value="08" <% if strMonth="08" then response.write" SELECTED" end if %>>August</option>
<option value="09" <% if strMonth="09" then response.write" SELECTED" end if %>>September</option>
<option value="10" <% if strMonth="10" then response.write" SELECTED" end if %>>October</option>
<option value="11" <% if strMonth="11" then response.write" SELECTED" end if %>>November</option>
<option value="12" <% if strMonth="12" then response.write" SELECTED" end if %>>December</option>
</select>
</form>