Everything between your HTML tags can go inside a <cfmail> tag. You can do the CFSET stuff prior to the CFMAIL tag.
BTW.. unless a variable is being used within a string, you don't need hashes.
<cfset month = #URL.Month#> should be
<cfset month = URL.Month>
If i do it that way wouldnt that send it a email everytime i click on the link?
Precisely. If you want to view the data before sending the email, create a second page that uses the CFMAIL tag and put a link to it on the first.
You could design it such as to be able to view the content and send the mail on the same page. An example follows.
1/2014 (a link that takes you to testing3.cfm)
<th>Employee First Name</th>
<th>Employee Last Name</th>
<!--- Display page content --->
<!--- Clicking on this link will re-open the current page, and send mail --->
<a href="testing3.cfm?action=mail">Send mail</a>
<cfif isdefined("URL.action") and URL.action is "mail">
<cfquery name="getEmailAddresses" datasource="myDSN">
SELECT email FROM myTable
Here is the information for January 2014.
<p>The e-mails have been sent!</p>