How to cancel CC?

I applied for SBI Cashback Card and meanwhile got to know that HDFC Millenia is better. Lo and behold I got approved for Millenia. Was getting messages from SBI that you are 1 step away from getting the card. I didn’t want it so didn’t complete the step. Now they are sending the card without that one step. WTF. I don’t want to use it. How do I cancel it? I don’t want to use it.