How do I use the CONCAT function in SQL Server 2008 R2?

Just for completeness - in SQL 2008 you would use the plus + operator to perform string concatenation.

Take a look at the MSDN reference with sample code. Starting with SQL 2012, you may wish to use the new CONCAT function.

CONCAT is new to SQL Server 2012. The link you gave makes this clear, it is not a function on Previous Versions, including 2008 R2.

That it is part of SQL Server 2012 can be seen in the document tree:

SQL Server 2012  
Product Documentation  
Books Online for SQL Server 2012  
Database Engine  
  Transact-SQL Reference (Database Engine)  
    Built-in Functions (Transact-SQL)  
      String Functions (Transact-SQL)  

EDIT Martin Smith helpfully points out that SQL Server provides an implementation of ODBC's CONCAT function.