Two ways to go, I hope this is helpful:

Quick and easy , but 3rd party extensions 

>http://www.xtento.com/magento-extensions/enhanced-order-grid.html
><br />Excellent developer, world class support, and bonus for you based in Germany. Had great experience with other extensions by this company.

>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) Have had OK experiences with other modules, support more mixed

Otherwise see

>http://inchoo.net/magento/how-to-extend-magento-order-grid/

>https://magento.stackexchange.com/questions/17403/add-column-to-admin-sales-orders-grid

>https://magento.stackexchange.com/questions/4191/add-column-to-a-grid-observer-column-store-id-in-where-clause-is-ambiguous/

Cheers