Just add your event listener for mouse click on a column and use DataTables' column select function:

https://datatables.net/reference/api/columns().select()

The DataTables' client object name is the name you use when create the widget:

<?php
    DataTables::create(array(
        "name" => "myTable",
        ...
    ));
?>
<script>
    KoolReport.load.onDone(function() {
        myTable.columns([0, 1]).select(); //select the first and second columns
    });
</script>