para uso do SQL Server 2017 e superior:
STRING_AGG()
set nocount on;
declare @YourTable table (RowID int, HeaderValue int, ChildValue varchar(5))
insert into @YourTable VALUES (1,1,'CCC')
insert into @YourTable VALUES (2,2,'B<&>B')
insert into @YourTable VALUES (3,2,'AAA')
insert into @YourTable VALUES (4,3,'<br>')
insert into @YourTable VALUES (5,3,'A & Z')
set nocount off
SELECT
t1.HeaderValue
,STUFF(
(SELECT
', ' + t2.ChildValue
FROM @YourTable t2
WHERE t1.HeaderValue=t2.HeaderValue
ORDER BY t2.ChildValue
FOR XML PATH(''), TYPE
).value('.','varchar(max)')
,1,2, ''
) AS ChildValues
FROM @YourTable t1
GROUP BY t1.HeaderValue
SELECT
HeaderValue, STRING_AGG(ChildValue,', ')
FROM @YourTable
GROUP BY HeaderValue
SAÍDA:
HeaderValue
----------- -------------
1 CCC
2 B<&>B, AAA
3 <br>, A & Z
(3 rows affected)
para SQL Server 2005 e até 2016, você precisa fazer algo assim:
--Concatenation with FOR XML and eleminating control/encoded character expansion "& < >"
set nocount on;
declare @YourTable table (RowID int, HeaderValue int, ChildValue varchar(5))
insert into @YourTable VALUES (1,1,'CCC')
insert into @YourTable VALUES (2,2,'B<&>B')
insert into @YourTable VALUES (3,2,'AAA')
insert into @YourTable VALUES (4,3,'<br>')
insert into @YourTable VALUES (5,3,'A & Z')
set nocount off
SELECT
t1.HeaderValue
,STUFF(
(SELECT
', ' + t2.ChildValue
FROM @YourTable t2
WHERE t1.HeaderValue=t2.HeaderValue
ORDER BY t2.ChildValue
FOR XML PATH(''), TYPE
).value('.','varchar(max)')
,1,2, ''
) AS ChildValues
FROM @YourTable t1
GROUP BY t1.HeaderValue
SAÍDA:
HeaderValue ChildValues
----------- -------------------
1 CCC
2 AAA, B<&>B
3 <br>, A & Z
(3 row(s) affected)
Além disso, cuidado, nem todos os
FOR XML PATH as concatenações manipularão corretamente os caracteres especiais XML, como o meu exemplo acima. 
