In which version of Microsoft SQL Server do you execute this CREATE TABLE statement? According to the documentation, MS SQL Server 2000 does not recognize the syntax for WITH (...index options...) . This syntax is supported in MS SQL Server 2005 and later.
Even if you are using SQL Managment Studio 2005, you can connect to MS SQL Server 2000. To check the version, try this query:
SELECT SERVERPROPERTY('productversion'), SERVERPROPERTY ('productlevel'), SERVERPROPERTY ('edition');
MS SQL Server 2000 productversion - 8.x.
MS SQL Server 2005 productversion - 9.x.
MS SQL Server 2008 productversion - 10.x.
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