How do I specify that a column should be auto-incremented in pgAdmin?
two options: Use the "datatype" SERIAL or create a sequence and use this sequence as a default value for your integer:

CREATE SEQUENCE your_seq;
CREATE TABLE foo(
  id int default nextval('your_seq'::regclass),
  other_column TEXT
);
INSERT INTO foo(other_column) VALUES ('bar') RETURNING *;