>>Don't select it in Properties window, select it in the
>>Grid itself while in editing mode.
>?
>How do you mean that? What is in "editing" mode? I don't know how to select column in the Grid itself.

Just click on it with the mouse. Say, you have grid with 3 columns:

Column1 Column2 Column3 and you want to delete Column2

Right Click on grid, select Edit, then click on column2 and press Delete key.