@Purus is correct, since your combo box is a span, you cannot use the Select
wrapper as it can only be used on select
tagname.
I think what you were trying to do was right, click on the combo, that opens up the months then click on the appropriate month. Did you try something like this,
WebDriverWait wait = new WebDriverWait(driver,30);
WebElement element = driver.findElement(By.cssSelector("#BirthMonth"));
element.click();
WebElement month = wait.until(ExpectedConditions.elementToBeClickable(By.xpath(".//div[text()='July']")));
month.click();