If you are creating a database in MSQL( Microsoft SQL ) Server, then you can have different file groups, where storage will be created in different places, like disks or directories and so on. You can name each of the file-groups as well.
As the PRIMARY file-group is default one, it'll be created always, and therefore the SQL that you have given will create your table ON the PRIMARY file-group.
For full syntax, you can refer to MSDN .