Add onClick event to document.createElement("th")

var newTH = document.createElement('th');
newTH.innerHTML = 'Hello, World!';
newTH.onclick = function () {
    this.parentElement.removeChild(this);
};

var table = document.getElementById('content');
table.appendChild(newTH);

Working example: http://jsfiddle.net/23tBM/

You can also just hide with this.style.display = 'none'.

var newTH = document.createElement('th');
newTH.onclick = function() {
      //Your code here
}

var newTH = document.createElement('th');
newTH.setAttribute("onclick", "removeColumn(#)");
newTH.setAttribute("id", "#");

function removeColumn(#){
// remove column #
}

var newTH = document.createElement('th');
newTH.addEventListener( 'click', function(){
  // delete the column here
} );