Are you sure that there are any records that meets the filter criteria? To test, try SET FILTER TO .T. IN MONTH.
And, by the way, always issue a LOCATE after the SET FILTER line. So the sequence will be
select month
set filter to not completed
locate
But, as Nadya also pointed out, an updatable view is a better solution.
>So when I use the set filter to command, why does my month table appear empty, yet those are records in this table.