Should I mention that I'm currently studying in CV? I'm currently taking course in Business Intelligence and writing a CV to apply for jobs. Should I mention the fact that I'm currently taking this course in my CV? Since I have no previous work experience I'm  having trouble with filling my CV with information.

That's what I came up with so far:

Summary:
A highly motivated, results-focused SQL Server/T-SQL/SSIS developer. Currently in finishing stage of BI Developer course. 

Technical skills:
Database: MS SQL Server 2014
Programming: SQL, T-SQL, basic level C#
Database tools: SQL Server Management Studio, SSIS

Languages: English(Fluent), Hebrew(Fluent), Russian(Native)
Formal education: BA in Business Management(Tel Aviv University)
Since you said you have no previous work experience, it is essential that you include as many information -true facts- as you can that imply that you are a serious candidate for the job. That course might show the motivation you have, so I think it will be taken under consideration.