Since you didn't provide a data set I made my own from the link you provided. Your method works for me and I get an empty data set only if I don't meet both of the conditions supplied (month and year) so I'm guessing you're you're attempting to subset a date series (month and year) that doesn't exist (but can't tell for certain without the code you're using). Here's the code I used:
sales <- read.table(text="2372 Kansas KS2000111 HUMBOLDT, CITY OF ATRAZINE 1.3 05/07/2006
9104 Kansas KS2000111 HUMBOLDT, CITY OF ATRAZINE 0.34 07/23/2006
9212 Kansas KS2000111 HUMBOLDT, CITY OF ATRAZINE 0.33 02/11/2007
2094 Kansas KS2000111 HUMBOLDT, CITY OF ATRAZINE 1.4 05/06/2007
16763 Kansas KS2000111 HUMBOLDT, CITY OF ATRAZINE 0.61 05/11/2009
1076 Kansas KS2000111 HUMBOLDT, CITY OF METOLACHLOR 0.48 05/12/2002
1077 Kansas KS2000111 HUMBOLDT, CITY OF METOLACHLOR 0.3 05/07/2006")
sales$V9 <- as.Date(sales$V9, "%m/%d/%Y")
names(sales)[9] <- 'date'
subset(sales, format.Date(date, "%m")=="05" & format.Date(date, "%y")=="07")
# V1 V2 V3 V4 V5 V6 V7 V8 date
#4 2094 Kansas KS2000111 HUMBOLDT, CITY OF ATRAZINE 1.4 2007-05-06
subset(sales, format.Date(date, "%m")=="05" & format.Date(date, "%y")=="10")
#[1] V1 V2 V3 V4 V5 V6 V7 V8 date
#<0 rows> (or 0-length row.names)
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