What does ON [PRIMARY] mean?
When you create a database in Microsoft SQL Server you can have multiple file groups, where storage is created in multiple places, directories or disks. Each file group can be named. The PRIMARY file group is the default one, which is always created, and so the SQL you've given creates your table ON the PRIMARY file group.
See MSDN for the full syntax.
It refers to which filegroup the object you are creating resides on. So your Primary filegroup could reside on drive D:\ of your server. you could then create another filegroup called Indexes. This filegroup could reside on drive E:\ of your server.
ON [PRIMARY] will create the structures on the "Primary" filegroup. In this case the primary key index and the table will be placed on the "Primary" filegroup within the database.