For MSSQL Server 2012
CREATE TABLE usrgroup(
usr_id int FOREIGN KEY REFERENCES users(id),
grp_id int FOREIGN KEY REFERENCES groups(id),
PRIMARY KEY (usr_id, grp_id)
)
UPDATE
I should add !
If you want to add foreign / primary keys altering, firstly you should create the keys with constraints or you can not make changes. Like this below:
CREATE TABLE usrgroup(
usr_id int,
grp_id int,
CONSTRAINT FK_usrgroup_usrid FOREIGN KEY (usr_id) REFERENCES users(id),
CONSTRAINT FK_usrgroup_groupid FOREIGN KEY (grp_id) REFERENCES groups(id),
CONSTRAINT PK_usrgroup PRIMARY KEY (usr_id,grp_id)
)
Actually last way is healthier and serial. You can look the FK/PK Constraint names (dbo.dbname > Keys > ..) but if you do not use a constraint, MSSQL auto-creates random FK/PK names. You will need to look at every change (alter table) you need.
I recommend that you set a standard for yourself; the constraint should be defined according to the your standard. You will not have to memorize and you will not have to think too long. In short, you work faster.