OK, so if you look at the formula in cell B4 - =INDEX(Data!D:D,MATCH($B$1&$A4,Data!$A:$A,0))

The first argument of the MATCH portion of the formula is concatenating the value in cell B1 (the name chosen in the drop down) and the value in A4 (January) which gives you something like NatalieJanuary as the lookup value.
The whole of the INDEX/MACH formula looks for this value in the helper column on the data sheet and returns the corresponding value from column D on that sheet.

Does that explain it at all??

Basically, if you change the value in the drop down to Mary, then the lookup string changes to MaryJanuary, change it to Scott and you get ScottJanuary.