After a little sojourn in to the world of creating new indices, I then had to clear up a little bit. Here is how to delete an index :
Drop Index
You can delete an existing index in a table with the DROP INDEX statement.
Syntax for Microsoft SQLJet (and Microsoft Access):
DROP INDEX index_name ON table_name
Syntax for MS SQL Server:
DROP INDEX table_name.index_name
Syntax for IBM DB2 and Oracle:
DROP INDEX index_name
Syntax for MySQL:
ALTER TABLE table_name DROP INDEX index_name
Seems that various methods work at least on Microsoft SQL 2005, for example this worked for me :
drop INDEX [IX_Vault_Items] on vault
Note: idea taken from http://www.w3schools.com/SQL/sql_drop.asp