T-SQL MINUS operator
MINUS is a name for the "set difference" operator that is used only by Oracle. 

SQL Server uses the (standard) name, EXCEPT, for this operator. Replacing the MINUS with EXCEPT will solve the issue:

SELECT Customer_Name
FROM Customer
WHERE Customer_No 
  IN
  (SELECT Customer_No FROM Customer
   EXCEPT
   SELECT Customer_No FROM DVD_Purchase
  ) ;


By the way, since the external query and the subquery reference the same table+column (Customer . Customer_No) you could use NOT IN without EXCEPT. Assuming that the columns involved (Customer_No) are not nullable, this is equivalent:

SELECT Customer_Name
FROM Customer
WHERE Customer_No 
  NOT IN
  (SELECT Customer_No FROM DVD_Purchase
  ) ;