Located in Mehroli, Delhi, the Iron pillar is a huge pillar near the Qutub Minar. It is one of the miracles and in a way displays the pinnacle of ancient Indian metallurgy in itself.

The pillar weighs over 6,000 and is thought to have originally been erected in what is now Udayagiri by one of the Gupta monarchs in approximately 402 CE, though the precise date and location are a matter of dispute.

There is ample amount of Phosphorus (0.114%)& small amounts of Sulpher (0.006%) in this column. Further, there is a coating of Manganese Oxide (MnO2) which keeps it safe. This is the reason that the Iron pillar does not rust.

Rusting- Rust is actually a substance that is formed by the reaction of iron with the oxygen present in air. Ferric oxide is formed by this reaction (which is called jung in the common language).  

Jung is very dangerous for any iron structure because it makes the structure very weak and brittle. Iron structures are painted to avoid rusting.