Basic :
CREATE TABLE table1 (
columnA INTEGER NOT NULL,
columnB INTEGER NOT NULL,
PRIMARY KEY (columnA, columnB)
);
If your columns are foreign keys of other tables (common case) :
CREATE TABLE table1 (
table2_id INTEGER NOT NULL,
table3_id INTEGER NOT NULL,
FOREIGN KEY (table2_id) REFERENCES table2(id),
FOREIGN KEY (table3_id) REFERENCES table3(id),
PRIMARY KEY (table2_id, table3_id)
);
CREATE TABLE table2 (
id INTEGER NOT NULL,
PRIMARY KEY id
);
CREATE TABLE table3 (
id INTEGER NOT NULL,
PRIMARY KEY id
);