How to set table name in dynamic SQL query?

Try this:

/* Variable Declaration */
DECLARE @EmpID AS SMALLINT
DECLARE @SQLQuery AS NVARCHAR(500)
DECLARE @ParameterDefinition AS NVARCHAR(100)
DECLARE @TableName AS NVARCHAR(100)
/* set the parameter value */
SET @EmpID = 1001
SET @TableName = 'tblEmployees'
/* Build Transact-SQL String by including the parameter */
SET @SQLQuery = 'SELECT * FROM ' + @TableName + ' WHERE EmployeeID = @EmpID' 
/* Specify Parameter Format */
SET @ParameterDefinition =  '@EmpID SMALLINT'
/* Execute Transact-SQL String */
EXECUTE sp_executesql @SQLQuery, @ParameterDefinition, @EmpID

To help guard against SQL injection, I normally try to use functions wherever possible. In this case, you could do:

...
SET @TableName = '<[db].><[schema].>tblEmployees'
SET @TableID   = OBJECT_ID(TableName) --won't resolve if malformed/injected.
...
SET @SQLQuery = 'SELECT * FROM ' + QUOTENAME(OBJECT_NAME(@TableID)) + ' WHERE EmployeeID = @EmpID' 

Table names cannot be supplied as parameters, so you'll have to construct the SQL string manually like this:

SET @SQLQuery = 'SELECT * FROM ' + @TableName + ' WHERE EmployeeID = @EmpID' 

However, make sure that your application does not allow a user to directly enter the value of @TableName, as this would make your query susceptible to SQL injection. For one possible solution to this, see this answer.