Lägg till några semikolon:
create table #temp
(
pName Varchar(20),
DateBegin DateTime,
DateEnd DateTime
)
Insert Into #temp(pName, DateBegin, DateEnd)
Values('Player1', '01/04/2012', '01/05/2012')
Insert Into #temp(pName, DateBegin, DateEnd)
Values('Player2', '02/01/2012', '02/05/2012');
With DateRange(dt) As
(
Select Convert(Datetime, '01/01/2012')
UNion All
Select DateAdd(dd, 1, Dat.dt) From DateRange Dat Where Dat.dt < CONVERT(Datetime, '01/31/2012')
)
Select T.pName, Dt.dt from #temp T
Inner Join DateRange Dt on Dt.dt BETWEEN T.DateBegin and T.DateEnd;
Drop Table #temp
http://sqlfiddle.com/#!6/06e89