I'm assuming you're talking about columns in a table, right?
On the main Word menu you have a Table pulldown. Everything related to tables is there.
Here's another way: select a column of the table, right click, select Shading and borders (or very similar formatting command), pick the color and you're good to go.
I'm not in front of 2000 right now, but it might be select the column and then Format.
Selecting the column is the roughest part, as often either a whole table or just one cell gets selected, so you need to do a bit of mousework to get it right
If you're not talking about a table, but a column of a 3-column page, then I have no clue. Perhaps you can just select the text in that column and give it some background or highlight.