Error "Could not find any index named [IX_MyIndex]" upon creating it
Remove the last line and execute it.
CREATE NONCLUSTERED INDEX [IX_MyIndex] ON [dbo].[MyTable] ([Field1],[Field2]) INCLUDE (Fields3, Fields4, Fields5)
It is trying to search index with name -
IX_MyIndex which is not available. But after creating an index of name
IX_MyIndex you can run the same query.
With the help of Suraj's answer I found that the problem was the option:
It does not work as I suspected (drop the index IF exists), instead it tries to find it and drop it!
Removing it did the trick!