I tried the following code. Although I don\'t get any errors, it did not do it.
SELECT * FROM Categories EXEC sp_rename \'Active\', CategoriesActive
You don't need to use that select in front, and the syntax should be like:
EXEC sp_rename @objname = 'Categories.Active', @newname = 'CategoriesActive', @objtype = 'Type_of_your_column'