You have the keyword SET
2 times in your query, and you do not need it. Try the following query.
UPDATE #CC201403B_CURRENT
SET
MONETARY = CASE
WHEN (NET_SALES BETWEEN '75.00' AND '100.00') THEN '75-100'
WHEN (NET_SALES BETWEEN '100.01' AND '125.00') THEN '100-125'
WHEN (NET_SALES BETWEEN '125.01' AND '175.00') THEN '125-175'
WHEN (NET_SALES BETWEEN '175.01' AND '250.00') THEN '175-250'
ELSE '250+' END,
RECENCY = CASE
WHEN (DLP BETWEEN '3/1/2013' AND '5/31/2013') THEN 'DLP 10-12'
WHEN (DLP BETWEEN '6/1/2013' AND '8/31/2013') THEN 'DLP 7-9'
WHEN (DLP BETWEEN '9/1/2013' AND '11/30/2013') THEN 'DLP 4-6'
WHEN (DLP BETWEEN '12/1/2013' AND '2/28/2014') THEN 'DLP 0-3'
ELSE '' END;