Board Columns are the same as your issue statuses. The statuses can be modified by going to Administration > Issue statuses. Each status can also be reordered or deleted.
Note: Please keep in mind that the Agile board columns have actually the same order as the Issue statuses as in the screenshot below.
If you create a new status you have to set up a workflow for it otherwise you will not be able to move issues to/from that status(column). It can be set in the Administration menu (on top) > Workflow section.