With your table in Design View, select View>Indexes to open the Indexes dialog window. For the first field, specify an index name of your choosing, select the field from the dropdown list, and set Primary to Yes. Enter the second and third fields on the next two lines, but don't specify an index name on those lines. They will become part of the previous index.
You can also create a multi-field primary key in the table design grid, if they are consecutive. Just highlight all three rows using the row selectors, then click the Primary Key button on the toolbar. Rick Sprague