You can't make a different filegroup primary, the primary filegroup is the first one in the database and the one that contains the primary file. You can't delete the primary filegroup.
What you can do is set which filegroup is the default, any table or index that's created without specifying a filegroup then goes into the default filegroup
ALTER DATABASE <database name>
MODIFY FILEGROUP <filegroup name> DEFAULT;
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability