Here's your sample tables with indexes on them.  Should eliminate the table scans in your query plan.

CREATE TABLE Students (

StID INT NOT NULL PRIMARY KEY NONCLUSTERED,

StName NVARCHAR(50) NOT NULL)

GO

CREATE CLUSTERED INDEX IX_Students

ON Students (StName)

GO

INSERT Students VALUES (1,'Jack')

INSERT Students VALUES (2,'Anna')

INSERT Students VALUES (3,'Bob')

GO

CREATE TABLE StudentExam (

StID INT NOT NULL,

ExamName VARCHAR(50) NOT NULL,

PRIMARY KEY (StID, ExamName))

GO

INSERT StudentExam VALUES (1,'SQL Server')

INSERT StudentExam VALUES (2,'VB.NET')

INSERT StudentExam VALUES (2,'C#.NET')

INSERT StudentExam VALUES (1,'XML')

GO

Then run your query and see if it comes back with a more efficient query plan.