By the looks of JTableHeader.getToolTipText you need to do replace the
TableColumn/JTableHeader header renderers with something like this:

        new TableCellRenderer() {
            public Component getTableCellRendererComponent(
                JTable table, Object value,
                boolean isSelected, boolean hasFocus,
                int row, int column
            ) {
                Component component =
                    oldRenderer.getTableCellRendererComponent(
                        table, value,
                        isSelected, hasFocus,
                        row, column
                    );
                if (row == -1) {
                    component.setToolTipText("Column: "+column);
                }
                return component;
            }
        }

(Usual disclaimer.)

Tom Hawtin

The following code implements the tool tips. Basically, it creates a
subclass of JTableHeader that overrides the getToolTipText(MouseEvent)
method so that it returns the text for the current column. To associate
the revised table header with the table, the JTable method
createDefaultTableHeader is overridden so that it returns an instance of
the JTableHeader subclass.

    protected String[] columnToolTips = {
        null,
        null,
        "The person's favorite sport to participate in",
        "The number of years the person has played the sport",
        "If checked, the person eats no meat"};
    ...

    JTable table = new JTable(new MyTableModel()) {
        ...

        //Implement table header tool tips.
        protected JTableHeader createDefaultTableHeader() {
            return new JTableHeader(columnModel) {
                public String getToolTipText(MouseEvent e) {
                    String tip = null;
                    java.awt.Point p = e.getPoint();
                    int index = columnModel.getColumnIndexAtX(p.x);
                    int realIndex =
                            columnModel.getColumn(index).getModelIndex();
                    return columnToolTips[realIndex];
                }
            };
        }
    }

See http://java.sun.com/docs/books/tutorial/uiswing/components/table.html