This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
Make a class that implements TableCellRenderer and equip it to return your JPanel as the renderer component. Get the TableColumn from the TableColumnModel of the table and then set your renderer on it with setHeaderRenderer.