Modified
SELECT *
FROM GroupTask gt
WHERE EXISTS (SELECT * FROM GroupTaskDetails WHERE GTaskID = gt.GTaskID AND UserName = 'A')
AND
EXISTS (SELECT * FROM GroupTaskDetails WHERE GTaskID = gt.GTaskID AND UserName = 'B')
AND
EXISTS (SELECT * FROM GroupTaskDetails WHERE GTaskID = gt.GTaskID AND UserName = 'Z')
This will yield the expected result. The only thing I don't know is if subselects are allowed on SQL Server CE.
Cheers,