the object name [PSM.SAPSR3./BI0/F0SM_UPL_W] contains the database name
the separator is the dot, the first part is the database, second part the user, third part the object
as the error message states, you can't specify the database name as a prefix for the object
to drop the index:
use PSM
go
drop index [SAPSR3./BI0/F0SM_UPL_W].[/BI0/F0SM_UPL_W~10]
go
note: with set quoted_identifier on you would be able to use the dot in object names
but in that case you would have to use quotes everywhere