Main issue is that you first need to set the location of your x and y ticks. Also, it helps to use the more object-oriented interface to matplotlib. Namely, interact with the axes
object directly.
import matplotlib.pyplot as plt
import numpy as np
column_labels = list('ABCD')
row_labels = list('WXYZ')
data = np.random.rand(4,4)
fig, ax = plt.subplots()
heatmap = ax.pcolor(data)
# put the major ticks at the middle of each cell, notice "reverse" use of dimension
ax.set_yticks(np.arange(data.shape[0])+0.5, minor=False)
ax.set_xticks(np.arange(data.shape[1])+0.5, minor=False)
ax.set_xticklabels(row_labels, minor=False)
ax.set_yticklabels(column_labels, minor=False)
plt.show()
Hope that helps.