database: primary key, Clustered or NonClustered

I am creating a database in SQL server 2008,

CREATE TABLE Users
(
    U_Id INT NOT NULL
    FirstName VARCHAR(50) NOT NULL,
    LastName VARCHAR(50) NOT NULL,
    Email VARCHAR(200)
    Password VARCHAR(50)
)

I want to make U_Id the primary key. I would like to ask what is the difference between

 CONSTRAINT pk_UserID PRIMARY KEY (U_Id)

this

 CONSTRAINT pk_UserID PRIMARY KEY CLUSTERED (U_Id)

and this

CONSTRAINT pk_UserID PRIMARY KEY NONCLUSTERED (U_Id)

When to use each?

I read some article but it is still unclear to me. Can someone give me a quick explanation?