The way HDFStore records tables, the columns are stored by type as single numpy arrays. You always get back all of the columns, you can filter on them, so you will be returned for what you ask. In 0.10.0 you can pass a Term that involves columns.
store.select('df', [ Term('index', '>', Timestamp('20010105')),
Term('columns', '=', ['A','B']) ])
or you can reindex afterwards
df = store.select('df', [ Term('index', '>', Timestamp('20010105') ])
df.reindex(columns = ['A','B'])
The axes
is not really the solution here (what you actually created was in effect storing a transposed frame). This parameter allows you to re-order the storage of axes to enable data alignment in different ways. For a dataframe it really doesn't mean much; for 3d or 4d structures, on-disk data alignment is crucial for really fast queries.
0.10.1 will allow a more elegant solution, namely data columns, that is, you can elect certain columns to be represented as there own columns in the table store, so you really can select just them. Here is a taste what is coming.
store.append('df', columns = ['A','B','C'])
store.select('df', [ 'A > 0', Term('index', '>', Timestamp(2000105)) ])
Another way to do go about this is to store separate tables in different nodes of the file, then you can select only what you need.
In general, I recommend again really wide tables. hayden offers up the Panel solution, which might be a benefit for you now, as the actual data arangement should reflect how you want to query the data.