There are a few ways to do this.  I would recommend creating your JTable
with a TableColumnModel and setting the necessary values in your column
model:

       TableColumnModel columnModel = new DefaultTableColumnModel();
       TableColumn column = new TableColumn();
       column.setHeaderValue("my first column");
       columnModel.addColumn(column);

       TableModel tableModel = new DefaultTableModel();
       tableModel.setValueAt("hello", 0, 0);
       tableModel.setValueAt("world", 1, 0);

       JTable table = new JTable(tableModel, columnModel);

However, if you need to change the value in the column heading at runtime
you might use:

       table.getColumnModel().getColumn(0).setHeaderValue("my renamed
column");