There are two ways of doing this, the first, as nnichols mentioned is to create a unique multi-column index, the other way is to declare a multi-key primary key when creating the table.
The difference is semanitc but important. A primary key is always considered the "standard" way you access the table, and some database tools are programmed to look for a primary key. A multi-column unique index that is not the primary key may not get used by some of these tools.
The syntax is:
create table test (field1 type, field2 type, field3 type, primary key(field1, field2));