Ok, you were quicker than me :-)
Here is my solution anyway


'Next, go through the columns in the worksheet...
wTscWorkbook.Activate
Set rngUsed = ActiveWorkbook.Sheets("Sheet1").UsedRange
For i = rngUsed.Columns.Count To 1 Step -1
    If Left(wTscWorkbook.Sheets("Sheet1").Cells(1, i), 1) <> "W" And Left(wTscWorkbook.Sheets("Sheet1").Cells(1, i), 1) <> "S" Then
        'The column is not a weekly figure.  Delete it.
        wTscWorkbook.Sheets("Sheet1").Columns(i).Delete
        i = i - 1
    End If
Next i


BR
Tommy