How can I make these concrete columns?
You make the pillars using any round type of tube or pre made form. They are made from wood,metal or plastic.

This page (and this one) has an interesting product for making various forms for concrete pillars.



Depending on the finish- if you do not mind the crackled and holey look like in the small pillar on the left then you just pour the concrete into a form and leave it. If you want a smooth finish you need to use a "vibrating poker" which will remove air bubbles and separate the concrete from the aggregate making a smooth finish, like on the tall one on the right.

You can either dye the end product with some concrete stain or use a dye that you mix into the concrete it self. Either will give you various effects and they both last for many years.



Tips


Concrete can be pretty expensive and it is really heavy but also the most durable.  You can also use plaster or hollow columns to make it lighter and cheaper.
When using concrete do not use fast drying concrete as it will be more brittle and be prone to cracking and possibly snapping in half. Use a concrete that is suited for slabs and using aggregate is highly recommended.  
Even though concrete columns are solid you should consider putting in atleast some wire frame reinforcement. A single steel re-bar down the middle is the minimum but making a triangular re-bar structure would be ideal. The purpose of this is in the event that the concrete does snap or break the reinforcement will keep it in place .So it wont fall over and hurt/damage anything around it.