DECLARE @Test TABLE
  (
     Course  VARCHAR(10),
     Student VARCHAR(10)
  )

INSERT @Test
       (Course,
        Student)
VALUES ('A1',
        'S1'),
       ('A1',
        'S2'),
       ('A1',
        'S3'),
       ('A2',
        'S4'),
       ('A2',
        'S5')

SELECT DISTINCT Course,
                Stuff((SELECT ',' + Student
                       FROM   @Test T1
                       WHERE  T1.Course = T2.Course
                       FOR XML PATH('')), 1, 1, '')
FROM   @Test T2