In case you want the column name from the column location (the other way around to the OP question), you can use:
>>> df.columns.get_values()[location]
Using @DSM Example:
>>> df = DataFrame({"pear": [1,2,3], "apple": [2,3,4], "orange": [3,4,5]})
>>> df.columns
Index(['apple', 'orange', 'pear'], dtype='object')
>>> df.columns.get_values()[1]
'orange'
Other ways:
df.iloc[:,1].name
df.columns[location] #(thanks to @roobie-nuby for pointing that out in comments.)