You had a couple of mistakes. This is the new script. You forgot to connect to the Renderer class. Then the attributes, and that is mandatory, have to be data for the image url and title for the title.
PHP Code:
function loaderCompleteHandler (event:Event):void
{

    var 
playersXML:XML = new XML(event.currentTarget.data);
    var 
photoCol:DataGridColumn = new DataGridColumn("data");//has to be data
    
photoCol.headerText "Photo";
    
photoCol.width 120;
    
photoCol.cellRenderer LoaderCellRenderer;//you forgot this line.

    
var nameCol:DataGridColumn = new DataGridColumn("title");//has to be title
    
nameCol.headerText "Name";
    
nameCol.width 60;

    var 
myDP:DataProvider = new DataProvider(playersXML);
    var 
aDg:DataGrid = new DataGrid();
    
aDg.columns = [photoColnameCol];
    
aDg.width 200;
    
aDg.rowHeight 64;
    
aDg.dataProvider myDP;
    
aDg.rowCount aDg.length;
    
addChild (aDg);

PHP Code:
<players>
<
player data="bear.jpg" title="Smokey"/>
<
player data="lion.jpg" title="Leo"/>
</
players