Right click the Month Number attribute in the Attributes list and select Properties. In the Properties window, locate the KeyColumns and NameColumn properties. By default, the KeyColumn property will point to the column from where the attribute originated.
If the NameColumn property is empty, the end-users will see the values from the KeyColumn. If the NameColumn property has been filled in, the end-users will see values from this column instead.
So, what we want to do now is to fill in MonthName into the NameColumn property of the Month Number attribute. (Click the small button to the right of the NameColumn property.)
Scroll up a bit on the properties list to notice the OrderBy property.
Make sure that the OrderBy property is handling sorting correctly.
Process the dimension and have another look at the dimension browser. Now, month names should be displayed instead of month numbers.
Finally, go to the Dimension Usage tab of the Sales Cube design window and add the Period dimension to the cube.
Deploy and process the cube and go to the cube browser to check out the new Period dimension.