How do you convert a dictionary to a ConcurrentDictionary?

Why not write your own extension method:

  public static class ConcurrentDictionaryExtensions {
    public static ConcurrentDictionary<TKey, TElement> ToConcurrentDictionary<TSource, TKey, TElement>(this IEnumerable<TSource> source, Func<TSource, TKey> keySelector, Func<TSource, TElement> elementSelector, IEqualityComparer<TKey> comparer) {
        if (source == null) throw new ArgumentNullException("source");
        if (keySelector == null) throw new ArgumentNullException("keySelector");
        if (elementSelector == null) throw new ArgumentNullException("elementSelector");

        ConcurrentDictionary<TKey, TElement> d = new ConcurrentDictionary<TKey, TElement>(comparer ?? EqualityComparer<TKey>.Default);
        foreach (TSource element in source)
            d.TryAdd(keySelector(element), elementSelector(element));

        return d;
    }

    public static ConcurrentDictionary<TKey, TSource> ToConcurrentDictionary<TSource, TKey>(this IEnumerable<TSource> source, Func<TSource, TKey> keySelector) {
        return ToConcurrentDictionary<TSource, TKey, TSource>(source, keySelector, IdentityFunction<TSource>.Instance, null);
    }

    public static ConcurrentDictionary<TKey, TSource> ToConcurrentDictionary<TSource, TKey>(this IEnumerable<TSource> source, Func<TSource, TKey> keySelector, IEqualityComparer<TKey> comparer) {
        return ToConcurrentDictionary<TSource, TKey, TSource>(source, keySelector, IdentityFunction<TSource>.Instance, comparer);
    }

    public static ConcurrentDictionary<TKey, TElement> ToConcurrentDictionary<TSource, TKey, TElement>(this IEnumerable<TSource> source, Func<TSource, TKey> keySelector, Func<TSource, TElement> elementSelector) {
        return ToConcurrentDictionary<TSource, TKey, TElement>(source, keySelector, elementSelector, null);
    }

    internal class IdentityFunction<TElement> {
        public static Func<TElement, TElement> Instance
        {
            get { return x => x; }
        }
    }

}

Simply adopted the code from the .Net framework.

A LINQ-To-Objects statement is ultimately an IEnumerable so you can pass it to the ConcurrentDictionary constructor, eg:

var customers = myCustomers.Select(x => new KeyValuePair(x.id, x));
var dictionary=new ConcurrentDictionary(customers);

This may not work with other providers. Linq to Entities for example, converts the entire LINQ statement to SQL and can't projection to a KeyValuePair. In this case you may have to call AsEnumerable() or any other method that forces the IQueryable to execute, eg:

var customers = _customerRepo.Customers.Where(...)
                             .AsEnumerable()
                             .Select(x => new KeyValuePair(x.id, x));
var dictionary=new ConcurrentDictionary(customers);

Select() with no arguments is not an IEnumerable or IQueryable method so I suppose it's a method provided by some other ORM. If Select() returns an IEnumerable you can use the first option, otherwise you can use AsEnumerable()

Use ConcurrentDictionary<TKey, TValue> Constructor (IEnumerable<KeyValuePair<TKey, TValue>>) constructor which can accept a dictionary object like:

Dictionary<int, string> dictionary = new Dictionary<int, string>();
dictionary.Add(1,"A");
dictionary.Add(2, "B");

ConcurrentDictionary<int,string> concurrentDictionary = 
             new ConcurrentDictionary<int, string>(dictionary);

can i set the LINQ statement to be a ConcurrentDictionary?

No. You can not.. There is no extension method available to create ConcurrentDictionary in LINQ. You can either create your own extension method or you can use the ConcurrentDictionary constructor in your LINQ query while projecting results.