Like this
SELECT DISTINCT Table1.Column1
FROM Table1
WHERE NOT EXISTS( SELECT * FROM Table2
WHERE Table1.Column1 = Table2.Column1 )
You want NOT EXISTS, not "Not Equal"
By the way, you rarely want to write a FROM clause like this:
FROM Table1, Table2
as this means "FROM all combinations of every row in Table1 with every row in Table2..." Usually that's a lot more result rows than you ever want to see. And in the rare case that you really do want to do that, the more accepted syntax is:
FROM Table1 CROSS JOIN Table2