2 options;
1 - Convert your month parameter to a date parameter, users can secify a range between years. ie 2011-11-01 to 2012-04-01.
2 - Set static values of 1-12 in parameter settings and set "Allow Multiple Values" to true - users will then be able to individually select 11,12,1,2,3 & 4.
I can guide you through either in more detail if you decide which you'd prefer to do.
Regards,
Ryan.