Join with comma separated values in SQL Server

You really should have a junction table for the courses a student is taking, rather than jamming comma-separated values into a single tuple. If you think this is the last problem you'll have because of this sub-optimal design, you're in for a big surprise. You really should have the owners of this project go read up on normalization - yes it's painful to change your schema, but so is constantly dealing with the limitations of leaving it like it is.

Anyway, with that said, you need a split function. Since your comma-separated values are numeric, you can get away with a variation on my XML function; there are several others to choose from in this blog post.

CREATE FUNCTION dbo.SplitStrings_XML
(
   @List       VARCHAR(MAX),
   @Delimiter  CHAR(1) = ','
)
RETURNS TABLE
WITH SCHEMABINDING
AS
   RETURN 
   (  
      SELECT Item = y.i.value('(./text())[1]', 'varchar(8000)')
      FROM 
      ( 
        SELECT x = CONVERT(XML, '<i>' 
          + REPLACE(@List, @Delimiter, '</i><i>') 
          + '</i>').query('.')
      ) AS a CROSS APPLY x.nodes('i') AS y(i)
   );

Now, your query is:

;WITH x AS 
(
  SELECT s.ROLLNO, s.Name, s.Address, c.CourseId, c.CourseName
  FROM dbo.StudentMaster AS s
  CROSS APPLY dbo.SplitStrings_XML(s.Course, default) AS f
  INNER JOIN dbo.CourseMaster AS c
  ON f.item = c.CourseId
)
SELECT ROLLNO, Name, Address, STUFF((
  SELECT ',' + CourseName FROM x AS x2 
  WHERE x2.ROLLNO = x.ROLLNO
  ORDER BY CourseId FOR XML PATH, 
  TYPE).value(N'.[1]',N'varchar(max)'), 1, 1, '')
FROM x
GROUP BY ROLLNO, Name, Address;

Again, this is a complicated solution, and because of your inferior database structure, the next query you have to perform will be equally convoluted and cumbersome. There's a reason this type of design is argued against in just about every blog, essay or book about the topic...

Same solution as the one provided by Aaron Bertrand when it comes to building the comma separated values but a bit different in connecting CourseMaster.CourseId with the values in StudentMaster.Course.

SQL Fiddle

MS SQL Server 2014 Schema Setup:

create table dbo.CourseMaster
(
  CourseId char(2),
  CourseName char(3)
);

create table dbo.StudentMaster
(
  ROLLNO char(5),
  NAME varchar(10),
  ADDRESS varchar(20),
  Course varchar(100)
);

insert into dbo.CourseMaster values
('01', 'ABC'),
('02', 'DEF'),
('03', 'GHI'),
('04', 'JKL'),
('05', 'MNO'),
('06', 'PQR'),
('07', 'STU');

insert into dbo.StudentMaster values
('12345', 'RAM',   'RAM ADDRESS',   '01,02,06'),                      
('25695', 'HARI',  'HARI ADDRESS',  '02,06'),                         
('89685', 'JEFF',  'JEFF ADDRESS',  '03,05,06,07'),                   
('47896', 'DAISY', 'DAISY ADDRESS', '03');

Query 1:

select SM.ROLLNO,
       SM.NAME, 
       SM.ADDRESS,
       (
       select ','+CM.CourseName
       from dbo.CourseMaster as CM
       where ','+SM.Course+',' like '%,'+CM.CourseId+',%'
       for xml path(''), type
       ).value('substring(text()[1], 2)', 'varchar(max)') as Course
from dbo.StudentMaster as SM;

Results:

| ROLLNO |  NAME |       ADDRESS |          Course |
|--------|-------|---------------|-----------------|
|  12345 |   RAM |   RAM ADDRESS |     ABC,DEF,PQR |
|  25695 |  HARI |  HARI ADDRESS |         DEF,PQR |
|  89685 |  JEFF |  JEFF ADDRESS | GHI,MNO,PQR,STU |
|  47896 | DAISY | DAISY ADDRESS |             GHI |