SQL Server Cannot drop database <dbname> because it is currently in use... but no sessions displayed

A session connected to another database might have an open transaction that also affects your database - sp_who2 will only show one database. It could also be something as simple as Object Explorer or Object Explorer Details open in SSMS, which again would only show one database in sp_who2.

Don't bother trying to find the session that is responsible; just kill them all with one statement (and make sure it isn't your copy of SSMS that is connected, e.g. another query window, Object Explorer, etc.):

USE master;
GO
ALTER DATABASE dbname SET SINGLE_USER WITH ROLLBACK IMMEDIATE;
GO

Now you will be able to drop it, and do that using DDL, not the UI:

DROP DATABASE dbname;

Make sure you don't have dependencies like database snapshots on the db you want to remove. Though, the error message would look otherwise. Are you sure that there is no hidden process that is connecting to your database? A good approach would be to run a script which kills all sessions and immediately after rename the database to another name and then drop database.

create a cursor based on this select:

  select  d.name , convert (smallint, req_spid) As spid
      from master.dbo.syslockinfo l, 
           master.dbo.spt_values v,
           master.dbo.spt_values x, 
           master.dbo.spt_values u, 
           master.dbo.sysdatabases d
      where   l.rsc_type = v.number 
      and v.type = 'LR' 
      and l.req_status = x.number 
      and x.type = 'LS' 
      and l.req_mode + 1 = u.number
      and u.type = 'L' 
      and l.rsc_dbid = d.dbid 
      and rsc_dbid = (select top 1 dbid from 
                      master..sysdatabases 
                      where name like 'my_db')

issue inside cursor:

SET @kill_process =  'KILL ' + @spid      
            EXEC master.dbo.sp_executesql @kill_process
                   PRINT 'killed spid : '+ @spid

after the cursor is closed and deallocated:

sp_dboption 'my_db', 'single user', 'TRUE'

go

sp_renamedb 'my_db', 'my_db_old'

go

DROP DATABASE MY_DB_OLD 

What's your current database when you issue the DROP command? Try this:

use master
go
drop database mydb
go

Also be sure that you are connected as sa and not dbo on whichever database you want to drop.