Execute the following Microsoft SQL Server Transact-SQL demonstration scripts in Management Studio Query Editor.

USE AdventureWorks;

GO

CREATE NONCLUSTERED INDEX IDXQuotaSales ON Sales.SalesPerson (

      SalesQuota,

      SalesYTD);

GO

------------

------------

-- Composite PRIMARY KEY constraint creates a composite index

------------

USE [AdventureWorks2008]

GO

ALTER TABLE [Production].[ProductModelProductDescriptionCulture]

ADD  CONSTRAINT [PK_ProductModelProductDescriptionCulture_ProductModelID_ProductDescriptionID_CultureID]

PRIMARY KEY CLUSTERED

(

      [ProductModelID] ASC,

      [ProductDescriptionID] ASC,

      [CultureID] ASC

)

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Related article:

How to create a covering index?