There is no need to use a cursor. The set-based approach would be to use a Calendar table. So first we make our calendar table which need only be done once and be somewhat permanent:
Create Table dbo.Calendar ( Date datetime not null Primary Key Clustered )
GO
; With Numbers As
(
Select ROW_NUMBER() OVER( ORDER BY S1.object_id ) As [Counter]
From sys.columns As s1
Cross Join sys.columns As s2
)
Insert dbo.Calendar([Date])
Select DateAdd(d, [Counter], '19000101')
From Numbers
Where [Counter] <= 100000
GO
I populated it with a 100K dates which goes into 2300. Obviously you can always expand it. Next we generate our test data:
Create Table dbo.Data(Id int not null, [Name] nvarchar(20) not null)
GO
Insert dbo.Data(Id, [Name]) Values(42,'South Yorkshire')
Insert dbo.Data(Id, [Name]) Values(43, 'Lancashire')
Insert dbo.Data(Id, [Name]) Values(44, 'Norfolk')
GO
Now the problem becomes trivial:
Declare @Start datetime
Declare @End datetime
Set @Start = '2010-01-01'
Set @End = '2010-01-03'
Select Dates.[Date], Id, [Name]
From dbo.Data
Cross Join (
Select [Date]
From dbo.Calendar
Where [Date] >= @Start
And [Date] <= @End
) As Dates