How to join two tables by multiple columns in SQL?

Yes: You can use Inner Join to join on multiple columns.

SELECT E.CaseNum, E.FileNum, E.ActivityNum, E.Grade, V.Score from Evaluation E
INNER JOIN Value V
ON E.CaseNum = V.CaseNum AND
    E.FileNum = V.FileNum AND 
    E.ActivityNum = V.ActivityNum

Create table

CREATE TABLE MyNewTab(CaseNum int, FileNum int,
    ActivityNum int, Grade int, Score varchar(100))

Insert values

INSERT INTO MyNewTab Values(CaseNum, FileNum, ActivityNum, Grade, Score)
SELECT E.CaseNum, E.FileNum, E.ActivityNum, E.Grade, V.Score from Evaluation E
INNER JOIN Value V
ON E.CaseNum = V.CaseNum AND
    E.FileNum = V.FileNum AND 
    E.ActivityNum = V.ActivityNum