I need to implement the following query in SQL Server:
select * from table1 WHERE (CM_PLAN_ID,Individual_ID) IN ( Select CM_PLAN_ID, Individual_ID From CR
You'll want to use the WHERE EXISTS syntax instead.
SELECT * FROM table1 WHERE EXISTS (SELECT * FROM table2 WHERE Lead_Key = @Lead_Key AND table1.CM_PLAN_ID = table2.CM_PLAN_ID AND table1.Individual_ID = table2.Individual_ID)