As of SQL 2014, this can be accomplished via inline index creation:
CREATE TABLE MyTable(
a int NOT NULL
,b smallint NOT NULL
,c smallint NOT NULL
,d smallint NOT NULL
,e smallint NOT NULL
-- This creates a primary key
,CONSTRAINT PK_MyTable PRIMARY KEY CLUSTERED (a)
-- This creates a unique nonclustered index on columns b and c
,CONSTRAINT IX_MyTable1 UNIQUE (b, c)
-- This creates a standard non-clustered index on (d, e)
,INDEX IX_MyTable4 NONCLUSTERED (d, e)
);
GO
Prior to SQL 2014, CREATE/ALTER TABLE only accepted CONSTRAINTs to be added, not indexes. The fact that primary key and unique constraints are implemented in terms of an index is a side effect.