On a car, the steering column is the shaft which extends from the back of the steering wheel down to the actual steering mechanism (usually a recirculating ball or rack and pinion arrangement) to transfer your intentions to the car's front (and in some cases rear) wheels. In some more modern cars the connection is much less direct, what with the advent of drive by wire and power steering systems.
Most steering columns since the 60's have been designed to be collapsable so that in the event of a head on collision, the steering column isn't forced through the driver's body, pinning them to their seat.
The steering column is also usually the mounting point for many of the car's controls, like indicators, light switches, windscreen wiper switches, etc.