Not able to drop non-clustered index

I was executing a query to create a non clustered index in one of the table and that has around 43M of rows. It runs more than 1 hour, then I felt something is wrong and have cancelled the query execution. I refreshed the database and checked Indexes folder under the same table and there is no such index is created. When I try to run the same query again getting below error The operation failed because an index or statistics with name 'IX_My_Index_name' already exists on table 'My_Table_Name' When I try to drop the same index again getting below error cannot drop the index 'IX_My_Index_name' because it does not exist or you do not have permission Any suggestions what could have gone wrong here