You can do the following to get what you are looking for :
WITH CTE AS(SELECT Employee.EmployeeId,
EmployeeName,
ProjectName
FROM Employee
JOIN ProjEmp
ON Employee.EmployeeId=ProjEmp.EmployeeId
JOIN Project
ON Project.ProjectId=ProjEmp.ProjectId)
SELECT EmployeeId,EmployeeName,
ProjectName = STUFF((
SELECT ',' + convert(varchar(10),T2.ProjectName)
FROM CTE T2
WHERE T1.EmployeeName = T2.EmployeeName
FOR XML PATH(''), TYPE).value('.', 'NVARCHAR(MAX)'), 1, 1, '')
FROM CTE T1
GROUP BY EmployeeId,EmployeeName
ORDER BY EmployeeId
Result:
EMPLOYEEID EMPLOYEENAME PROJECTNAME
1 Emp1 ProjA,ProjB
3 Emp3 ProjC
4 Emp4 ProjC,ProjD
5 Emp5 ProjE
7 Emp7 ProjE
8 Emp8 ProjE
See result in SQL Fiddle.