making dummy varjables and regression

[bay2121]

I am doing a calendar effect study on stock returns from 1990 to 2012 using monthly data.My hypothesis is that January stock returns is higher than other months.I need to make dummy variables for each month and also regress the variables. I am seeking for a step by step guide as I am also a dummy on eviews.

[EViews Gareth]

http://www.eviews.com/Learning/dummies.html