>SSMS execution plan recommends the creation of an index in regards to my query. I create the index. I run the execution plan again and it uses another index now.
>
>Anyone can explain this?

It's the computer equivalent of decorating a room - "I think the couch would look great against that wall", you move couch, "Nope, I don't like it there."

Basically it thinks the index will help based on the query analysis it does, but once you create it (and it can actually use it for analysis), it decides some other option is better.