In [48]: df.drop(df.columns.difference(['a','b']), 1, inplace=True)
Out[48]:
a b
0 1 2
1 4 3
2 8 9
or:
In [55]: df = df.loc[:, df.columns.intersection(['a','b'])]
In [56]: df
Out[56]:
a b
0 1 2
1 4 3
2 8 9
PS please be aware that the most idiomatic Pandas way to do that was already proposed by @Wen:
df = df[['a','b']]
or
df = df.loc[:, ['a','b']]