Not working set_index with drop
#### Code Sample, a copy-pastable example if possible

``` python
from io import StringIO
from pandas import read_csv

dtf = read_csv(StringIO("DATE_TIME,A\n2/8/2015  6:00:30,1"))

print(dtf)

dtf.set_index(dtf.DATE_TIME, drop=True, inplace=True)
print(dtf.columns)
print(dtf)
```
#### Current output

``` python
           DATE_TIME  A
0  2/8/2015  6:00:30  1
Index(['DATE_TIME', 'A'], dtype='object')
                           DATE_TIME  A
DATE_TIME                              
2/8/2015  6:00:30  2/8/2015  6:00:30  1
```
#### Expected Output

``` python
           DATE_TIME  A
0  2/8/2015  6:00:30  1
Index(['A'], dtype='object')
                           A
DATE_TIME                              
2/8/2015  6:00:30  1
```
#### output of `pd.show_versions()`

```
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.1.final.0
python-bits: 64
OS: Darwin
OS-release: 15.5.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.18.1
nose: None
pip: 8.1.2
setuptools: 20.6.7
Cython: None
numpy: 1.11.1
scipy: 0.16.1
statsmodels: None
xarray: None
IPython: 4.0.1
sphinx: None
patsy: None
dateutil: 2.5.3
pytz: 2016.6
blosc: None
bottleneck: None
tables: None
numexpr: None
matplotlib: 1.5.0
openpyxl: 2.3.5
xlrd: 1.0.0
xlwt: 1.0.0
xlsxwriter: None
lxml: None
bs4: 4.4.1
html5lib: None
httplib2: 0.9.2
apiclient: 1.5.0
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.8
boto: None
pandas_datareader: None
None
```
