You can try this:
In cell A1 enter =DATE(YEAR(TODAY()),MONTH(TODAY()),1)
This will return the first day of the current month & year
or just enter the date for the first of the required month.
The date must be in a format Excel recognizes as a date.
In cell A2 enter =A1+1
This will give the second of the month
Drag the formula in cell A2 down to A28
This will give the first 28 days.
In cell A29 enter this formula: =IF(DAY($A$1+28)<>29,"",A28+1)
This tests whether 28 days after the 1st of the month is 29 (or 1 - i.e. 1st of next month)
If it isn't 29, it returns "", else it returns the date
The same approach is used for A30 and A31
Format all cells with the required date format.
Hope this is the sort of thing you were looking for.