the syntax is CONSTRAINT constraint_name PRIMARY KEY(col1,col2,col3)
for example ::
CONSTRAINT pk_PersonID PRIMARY KEY (P_Id,LastName)
the above example will work if you are writting it while you are creating the table for example ::
CREATE TABLE person (
P_Id int ,
............,
............,
CONSTRAINT pk_PersonID PRIMARY KEY (P_Id,LastName)
);
to add this constraint to an existing table you need to follow the following syntax
ALTER TABLE table_name ADD CONSTRAINT constraint_name PRIMARY KEY (P_Id,LastName)