How to create composite primary key in SQL Server 2008

create table my_table (
     column_a integer not null,
     column_b integer not null,
     column_c varchar(50),
     primary key (column_a, column_b)
);

CREATE TABLE UserGroup
(
  [User_Id] INT NOT NULL,
  [Group_Id] INT NOT NULL

  CONSTRAINT PK_UserGroup PRIMARY KEY NONCLUSTERED ([User_Id], [Group_Id])
)

Via Enterprise Manager (SSMS)...

• Right Click on the Table you wish to create the composite key on and select Design.
  
• Highlight the columns you wish to form as a composite key
  
• Right Click over those columns and Set Primary Key

To see the SQL you can then right click on the Table > Script Table As > Create To

I know I'm late to this party, but for an existing table, try:

ALTER table TABLE_NAME
ADD CONSTRAINT [name of your PK, e.g. PK_TableName] PRIMARY KEY CLUSTERED (column1, column2, etc.)