clave primaria y clave externa

Aquí hay un comienzo con requisitos tan vagos:

CREATE TABLE dbo.Students
(
  StudentID INT PRIMARY KEY
  -- , other columns about students
);

CREATE TABLE dbo.Loans
(
  LoanID    INT PRIMARY KEY,
  StudentID INT NOT NULL FOREIGN KEY REFERENCES dbo.Students(StudentID)
  -- , other columns about loans
);

CREATE TABLE dbo.Books
(
  BookID INT PRIMARY KEY,
  -- , other columns about books
);

CREATE TABLE dbo.StudentBooks
(
  StudentID INT NOT NULL FOREIGN KEY REFERENCES dbo.Students(StudentID),
  BookID    INT NOT NULL FOREIGN KEY REFERENCES dbo.Books(BookID)
);