Two ways to go, I hope this is helpful:
Quick and easy , but 3rd party extension http://amasty.com/extended-order-grid.html Will do exactly what you want and more! (no i dont work for them, and have not personally used it, but i know it does the trick)
Otherwise see
http://inchoo.net/magento/how-to-extend-magento-order-grid/
http://magento.stackexchange.com/questions/17403/add-column-to-admin-sales-orders-grid
http://magento.stackexchange.com/questions/4191/add-column-to-a-grid-observer-column-store-id-in-where-clause-is-ambiguous/
Cheers