you should be using OR
select *
from humanresources.employeepayhistory
where ratechangedate between '01-jan-1996' and '31-dec-1997'
OR ratechangedate between '01-jan-2000' and '31-dec-2003'
also always try to pass date values in iso format
see
http://visakhm.blogspot.in/2011/12/why-iso-format-is-recommended-while.html
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SQL Server MVP
http://visakhm.blogspot.com/