I am not familiar with a way to make column names clickable URL's. The closest to this that I can think of is URL actions. URL Actions
However I am not sure this is what you are looking for. Hopefully someone else might have some ideas.
That was as close as I came to solving this too. Thanks for your input.
I was able to hyperlink my column via the following steps:
1. Worksheet Menu --> Actions
2. Add Action --> URL
3. Source Sheet = Sheet containing the column you want to hyperlink
Run action on = Select
For URL, click the arrow on the right and you get a list of columns, select the column you want to hyperlink.