<p>I'm using SQL Server 2005 and the the Dynamic Management View <code>sys.dm_db_missing_index_details</code>. It continues to tell me that Table1 really needs an index on ColumnX and ColumnY, but that index already exists! I've even dropped and re-created it a couple times to no avail.</p>

<p>More specifics: The view lists Column1 under <code>equality_columns</code>.  Column2 is listed under <code>inequality_columns</code>, so the index I have created is:</p>

<pre><code>create index IndexA on Table1 (Column1 asc, Column2 asc)
</code></pre>

<p>Isn't this exactly the index <code>sys.dm_db_missing_index_details</code> is telling me I need?</p>

If you have dropped & created the index, sp_update_stats shouldn't affect it (problem is not with statistics)
Perhaps it's because of the DMV data is obsolete already
Does Actual Execution Plan suggest the Missing Index in SSMS as well?
From
Books Online
Information returned by
  sys.dm_db_missing_index_details is
  updated when a query is optimized by
  the query optimizer, and is not
  persisted. Missing index information
  is kept only until SQL Server is
  restarted. Database administrators
  should periodically make backup copies
  of the missing index information if
  they want to keep it after server
  recycling.
To determine which missing index
  groups a particular missing index is
  part of, you can query the
  sys.dm_db_missing_index_groups dynamic
  management view by equijoining it with
  sys.dm_db_missing_index_details based
  on the index_handle column.