MySQL: Create index If not exists
That functionality does not exist. There are two things to keep in mind:
Create the Index Anyway
You can generate index in such a way that the index is created without checking if the index exists ahead of time. For example, you can run the following:
ALTER TABLE table_name ADD INDEX (column_to_index);
ALTER TABLE table_name ADD INDEX (column_to_index);

This will definitely create two indexes without checking. Each index will be assigned a name (perhaps column_to_index,column_to_index_1). Of course, you are trying to avoid that.
Check INFORMATION_SCHEMA first
Here is the layout of INFORMATION_SCHEMA.STATISTICS:
mysql&gt; show create table statistics\G
*************************** 1. row ***************************
       Table: STATISTICS
Create Table: CREATE TEMPORARY TABLE `STATISTICS` (
  `TABLE_CATALOG` varchar(512) NOT NULL DEFAULT '',
  `TABLE_SCHEMA` varchar(64) NOT NULL DEFAULT '',
  `TABLE_NAME` varchar(64) NOT NULL DEFAULT '',
  `NON_UNIQUE` bigint(1) NOT NULL DEFAULT '0',
  `INDEX_SCHEMA` varchar(64) NOT NULL DEFAULT '',
  `INDEX_NAME` varchar(64) NOT NULL DEFAULT '',
  `SEQ_IN_INDEX` bigint(2) NOT NULL DEFAULT '0',
  `COLUMN_NAME` varchar(64) NOT NULL DEFAULT '',
  `COLLATION` varchar(1) DEFAULT NULL,
  `CARDINALITY` bigint(21) DEFAULT NULL,
  `SUB_PART` bigint(3) DEFAULT NULL,
  `PACKED` varchar(10) DEFAULT NULL,
  `NULLABLE` varchar(3) NOT NULL DEFAULT '',
  `INDEX_TYPE` varchar(16) NOT NULL DEFAULT '',
  `COMMENT` varchar(16) DEFAULT NULL,
  `INDEX_COMMENT` varchar(1024) NOT NULL DEFAULT ''
) ENGINE=MEMORY DEFAULT CHARSET=utf8
1 row in set (0.00 sec)

mysql&gt;

You could just query for the existence of the index by name. For example, before you run
CREATE INDEX index_name ON mytable(column);

You need to run
SELECT COUNT(1) IndexIsThere FROM INFORMATION_SCHEMA.STATISTICS
WHERE table_schema=DATABASE() AND table_name='mytable' AND index_name='index_name';

If IndexIsThere is 0, you can create in the index. Perhaps you can write a stored procedure to create an index on the table of your choice.
DELIMITER $$

DROP PROCEDURE IF EXISTS `adam_matan`.`CreateIndex` $$
CREATE PROCEDURE `adam_matan`.`CreateIndex`
(
    given_database VARCHAR(64),
    given_table    VARCHAR(64),
    given_index    VARCHAR(64),
    given_columns  VARCHAR(64)
)
BEGIN

    DECLARE IndexIsThere INTEGER;

    SELECT COUNT(1) INTO IndexIsThere
    FROM INFORMATION_SCHEMA.STATISTICS
    WHERE table_schema = given_database
    AND   table_name   = given_table
    AND   index_name   = given_index;

    IF IndexIsThere = 0 THEN
        SET @sqlstmt = CONCAT('CREATE INDEX ',given_index,' ON ',
        given_database,'.',given_table,' (',given_columns,')');
        PREPARE st FROM @sqlstmt;
        EXECUTE st;
        DEALLOCATE PREPARE st;
    ELSE
        SELECT CONCAT('Index ',given_index,' already exists on Table ',
        given_database,'.',given_table) CreateindexErrorMessage;   
    END IF;

END $$

DELIMITER ;

Here is a sample run (Hey Remember This Table? It's from the question you asked back on June 27, 2012) :
mysql&gt; show create table pixels\G
*************************** 1. row ***************************
       Table: pixels
Create Table: CREATE TABLE `pixels` (
  `id` int(11) NOT NULL AUTO_INCREMENT,
  `type` varchar(30) DEFAULT NULL,
  `timestamp` timestamp NOT NULL DEFAULT CURRENT_TIMESTAMP,
  `pixel_data` blob,
  PRIMARY KEY (`id`)
) ENGINE=InnoDB AUTO_INCREMENT=29 DEFAULT CHARSET=latin1
1 row in set (0.00 sec)

mysql&gt; call createindex('adam_matan','pixels','type_timestamp_id_ndx','type,timestamp,id');
Query OK, 0 rows affected (0.20 sec)

mysql&gt; show create table pixels\G
*************************** 1. row ***************************
       Table: pixels
Create Table: CREATE TABLE `pixels` (
  `id` int(11) NOT NULL AUTO_INCREMENT,
  `type` varchar(30) DEFAULT NULL,
  `timestamp` timestamp NOT NULL DEFAULT CURRENT_TIMESTAMP,
  `pixel_data` blob,
  PRIMARY KEY (`id`),
  KEY `type_timestamp_id_ndx` (`type`,`timestamp`,`id`)
) ENGINE=InnoDB AUTO_INCREMENT=29 DEFAULT CHARSET=latin1
1 row in set (0.00 sec)

mysql&gt; call createindex('adam_matan','pixels','type_timestamp_id_ndx','type,timestamp,id');
+-----------------------------------------------------------------------+
| CreateindexErrorMessage                                               |
+-----------------------------------------------------------------------+
| Index type_timestamp_id_ndx Already Exists on Table adam_matan.pixels |
+-----------------------------------------------------------------------+
1 row in set (0.00 sec)

Query OK, 0 rows affected (0.01 sec)

mysql&gt;

Give it a Try !!!