I found a solution for this issue, as following:
- From the report data tab, expand the datasets folder, choose your data set.
- Right click dataset and choose add calculated field.
- In the Fields tab, enter a new field name "Month name" and press the fx button.
- In the expression windows in the category list in the left expand common functions, choose date&time, then double click monthname function from the right list.
- Add the field name to that function.
This do the trick, but I still don't know how to display it in Arabic instead of English.