How to set unique key in SQL server 2005 by Management Studio (Not by query) ?

You need to read a book (any book!) or refer number of tutorials on web...

There is a difference between unique key and primary key.
MSDN: Primary key Constraints[^]

MSDN: Unique Key Constraints[^]

After creating a table, you define the columns. There is a property window associated with a column created, use that for setting various properties/constraints for that column. There is a right click option too for setting selected constraints.