Of course this single class is not going to jeopardize your admission (which, to be clear, is a longshot for just about anyone).
More important, though, is what it may be telling you about your study habits and preparedness. Presumably 30 or so other kids are staying in the class and understanding the material. When you aim for a college like Columbia you are competing for admission against not just the top kids in your HS but against the top kids across the country. You just received valuable information about where you may stand. Its worth spending some time thinking about why you “didn’t understand anything”, about what your peers are doing and have done differently so that they can take and excel in that class.
Again, one class is not the end of your dreams but it may be a harbinger of the future. Instead of just ignoring this or chalking it up to bad fortune it’s up to you to take action so that in the future you can do as well as the best of your peers.