Columns are the statuses a task can be in. They belong to the project, so two projects can run entirely different workflows.
Managing them
Open Manage columns from the board. From there you can add a column, rename one, reorder them, and delete the ones you do not use.
Column names must be unique within the project, so you cannot have two called "In Review". Reordering changes the order on the board and in the list view for everyone.
Deleting a column
A column holding tasks cannot be deleted. Move those tasks somewhere else first. Silently relocating people's work to make a delete succeed is how tasks get lost.
Mark the done column
This is the setting people skip, and it matters. One column per project is flagged as the one that means finished, and tasks in it are counted as completed.
Project progress, the percentage on the project page and the dashboard, is worked out from it. If no column is marked done, progress reads zero however much work you have finished. If the wrong one is marked, progress is wrong.
You can call the column whatever you like: Done, Shipped, Delivered, Closed. What matters is that the flag is on the right one.
A sensible starting set
Four columns cover most work: To Do, In Progress, In Review, Done. Add more only when a column is a place work waits, and not a label you could put on a task instead.
Progress looks lower than it should
Usually one of two things: the done column is not marked, or tasks are sitting in a column that was renamed or removed, so they no longer match any current column. Open the board and look for tasks that are not in any of the columns you expect.