The information you want is a Set Name message, passed to the column. The reference for this is:
Help==>Scripting Index.......Column Scripting, Set Name
Names Default To Here( 1 ); dt = Open( "$SAMPLE_DATA/Big Class.jmp" ); :Age << Set Name( "Time" );
Another option - non-JSL:
If this is something you do occasionally then you can click on the column header name and start typing to change the name to what you would like it to be.