create table ann
(f01 varchar(6),
 f02 varchar(6),
 f03 varchar(6))
 
insert into ann
select 'a01', '0001', 'a1' union all
select 'a01', '0002', 'a2' union all
select 'a02', '0001', 'a5' union all
select 'a02', '0002', 'a6' union all
select 'a02', '0003', 'a7' union all
select 'a02', '0004', 'a8'


create function dbo.fn_ann
(@f01 varchar(6))
returns varchar(200)
as
begin
  declare @r varchar(200)
  
  select @r=isnull(@r,'')+f03+','
  from ann 
  where f01=@f01
  
  select @r=left(@r,len(@r)-1)
  
  return @r
end


select f01,
       dbo.fn_ann(f01) 'f03' 
from ann
group by f01

/*
f01    f03
------ ----------------
a01    a1,a2
a02    a5,a6,a7,a8

(2 row(s) affected)
*/