One would think that if the above works then something like Month={"=5"} would work too, but it doesn't. Yet Month={">=5<=5"} does. I hope QlikTech comes up with a saner way to deal with dual value fields in set analysis expressions soon.
If your Month only has a text value, then use the dual() function to give it both a text and numeric value or create a numeric field like for example MonthNum too. Better yet, use the Qlikview Components library to generate a calendar for you with all sorts of handy fields and set expressions.