This should work:
SELECT YEAR(createdon ) [Year], MONTH(createdon ) [Month],
DATENAME(MONTH,createdon ) [Month Name], COUNT(1) [Sales Count]
FROM SHK2014_MSCRM.dbo.FilteredLeads
WHERE statecode = 0
GROUP BY YEAR(createdon ), MONTH(createdon ),
DATENAME(MONTH, createdon )
ORDER BY 1,2