You don't mention which error(s) you're getting, but removing the information of the first column should be straightforward to accomplish.
You shouldn't use math mode to put the words in the second header row in italics; use \textit instead. The intra-word spacing will be greatly improved.
Separately, as is shown in the second table below, you may want to consider decluttering the table by getting rid of all vertical lines and most of the horizontal lines, as well as (for the horizontal lines that remain) get better spacing than is is possible with just \hline: the \booktabs package offers the commands \toprule, \midrule, \cmidrule (with trimming options), and \bottomrule for just this purpose. Finally, it may be a good idea to align the numbers on their decimal signs.

\documentclass{article}
\usepackage{graphicx,booktabs,dcolumn}
\newcolumntype{d}[1]{D{.}{.}{#1}}
\newcommand\mc[1]{\multicolumn{1}{@{}c@{}}{#1}}
\begin{document}
\begin{table}
\resizebox{\linewidth}{!}{%
\begin{tabular}{|c|c|c|c|c|c|c|c|c|c|c|c|} \hline
\multicolumn{4}{|c|}{Jaro-Winkler} &
\multicolumn{4}{c|}{TF-IDF} &
\multicolumn{4}{c|}{TF-IDF (3-gram)} \\
\hline
\textit{Threshold} & \textit{Purity} & \textit{Zrand} & \textit{NMI} &
\textit{Threshold} & \textit{Purity} & \textit{Zrand} & \textit{NMI} &
\textit{Threshold} & \textit{Purity} & \textit{Zrand} & \textit{NMI} \\ \hline
0 &0.0023 &NaN &0.4670 &0 &0.2789 &37.68 &0.7439 &0 &0.2395 &32.81 &0.7201 \\ \hline %Row 1
0.2 &0.0023 &NaN &0.4670 &0.2 &0.9583 &463.18 &0.9003 &0.2 &0.8483 &271.59 &0.8872 \\ \hline %Row 2
0.4 &0.0023 &NaN &0.4670 &0.4 &0.9907 &445.94 &0.9318 &0.4 &0.9861 &484.57 &0.9159 \\ \hline %Row 3
0.6 &0.0034 &0.5916 &0.4676 &0.6 &0.9976 &374.23 &0.9299 &0.6 &0.9942 &410.28 &0.9308 \\ \hline %Row 4
0.8 &0.1944 &16.18 &0.6317 &0.8 &0.9976 &283.43 &0.9285 &0.8 &0.9976 &326.86 &0.9291 \\ \hline %Row 5
1 &0.9629 &207.14 &0.9074 &1 &0.9976 &33.29 &0.9266 &1 &0.9976 &156.52 &0.9273 \\ \hline %Row 6
0.8942 &0.9548 &193.84 &0.9060 &0.5522 &0.9837 &470.70 &0.9156 &0.5943 &0.9814 &472.90 &0.9155 \\ \hline %Row 7
\end{tabular}}
\bigskip
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{} d{1.4}cd{3.4}c *{2}{d{1.4}cd{3.2}c} @{}}
\toprule
\multicolumn{4}{@{}c}{Jaro-Winkler} &
\multicolumn{4}{c}{TF-IDF} &
\multicolumn{4}{c@{}}{TF-IDF (3-gram)} \\
\cmidrule(r){1-4} \cmidrule(r){5-8} \cmidrule{9-12}
\mc{\textit{Threshold}} & \mc{\textit{Purity}} & \mc{\textit{Zrand}} & \mc{\textit{NMI}} &
\mc{\textit{Threshold}} & \mc{\textit{Purity}} & \mc{\textit{Zrand}} & \mc{\textit{NMI}} &
\mc{\textit{Threshold}} & \mc{\textit{Purity}} & \mc{\textit{Zrand}} & \mc{\textit{NMI}} \\
\midrule
0 &0.0023 &\mc{NaN} &0.4670 &0 &0.2789 &37.68 &0.7439 &0 &0.2395 &32.81 &0.7201 \\ %Row 1
0.2 &0.0023 &\mc{NaN} &0.4670 &0.2 &0.9583 &463.18 &0.9003 &0.2 &0.8483 &271.59 &0.8872 \\ %Row 2
0.4 &0.0023 &\mc{NaN} &0.4670 &0.4 &0.9907 &445.94 &0.9318 &0.4 &0.9861 &484.57 &0.9159 \\ %Row 3
0.6 &0.0034 &0.5916 &0.4676 &0.6 &0.9976 &374.23 &0.9299 &0.6 &0.9942 &410.28 &0.9308 \\ %Row 4
0.8 &0.1944 &16.18 &0.6317 &0.8 &0.9976 &283.43 &0.9285 &0.8 &0.9976 &326.86 &0.9291 \\ %Row 5
1 &0.9629 &207.14 &0.9074 &1 &0.9976 &33.29 &0.9266 &1 &0.9976 &156.52 &0.9273 \\ %Row 6
0.8942 &0.9548 &193.84 &0.9060 &0.5522 &0.9837 &470.70 &0.9156 &0.5943 &0.9814 &472.90 &0.9155 \\ %Row 7
\bottomrule
\end{tabular}}
\end{table}
\end{document}
{}. Blocks are indented by four spaces, inline code delimited by backticks (```). – Torbjørn T. Nov 16 '13 at 00:00