A "View" in Open Leads is simply a saved collection of filters.
On your Leads tab, starting from the current view of "All Leads," you can filter your leads by a variety of criteria, such as date added, etc. So you could add a filter for "Date Added" is "in this month" - which will return all leads that were added to your account, assigned to you (if you are a regular user) or for the entire account (if you are an Admin user).
You can then save this filtered list as a "View" by clicking the "Save This View" link next to the Current View dropdown at the top of the screen. Then give the View a label, such as "Leads this Month" and click Save.
This "View" is then available to you in the Current View dropdown menu.