WHERE in based on multiple columns
Your query is standard SQL. Unfortunately it hasn't been implemented yet in SQL Server. You can express your support for this feature to be implemented: Microsoft Azure Feedback: Add support for ANSI standard row value constructors.

You can use the common method of transforming IN to an EXISTS subquery. Works with just one or more columns:

SELECT * 
FROM tableA AS a
WHERE EXISTS
      ( SELECT 1 
        FROM tableB AS b
        WHERE a.[C1] = b.[D1]
          AND a.[C2] = b.[D2]
          ---
          AND a.[Cn] = b.[Dn]
      ) ;