You can also change the name of a column via the Object Explorer or Table Designer in SSMS.
Here is the link to the
microsoft documentation[
^] on how to achieve this
[Edit - inspired by Nicholas Marty's solution]
When you are doing a select from your original table detailing each column by name change it to use
Student.StudentId AS SID
instead. Changing a column name from StudentId to SID doesn't really achieve much