I'm not sure on why you included the "create" word. It shouldn't be part of the table hint, that might be the error and should occur as well on 2000.
You should include WITH to use table hints, but most important, you need to be sure that you need them. You shouldn't include index hints, unless you've tested the query and found out that it is a real solution. SQL Server is able to identify which index is needed and when.
This should work, but it's still a bad practice.
SELECT BUDEPT.DEPT, Dept_Description.DEPT_NAME
FROM Dept_Description WITH(index =PK_Dept_Description) INNER JOIN
BUDEPT WITH( INDEX =IX_BUDEPT) ON Dept_Description.DEPT = BUDEPT.DEPT
GROUP BY BUDEPT.DEPT, Dept_Description.DEPT_NAME
ORDER BY BUDEPT.DEPT