GROUP BYを使用して、列を結合/連結します

SELECT
     [User], Activity,
     STUFF(
         (SELECT DISTINCT ',' + PageURL
          FROM TableName
          WHERE [User] = a.[User] AND Activity = a.Activity
          FOR XML PATH (''))
          , 1, 1, '')  AS URLList
FROM TableName AS a
GROUP BY [User], Activity

• SQLFiddleデモ