The increment_id column need to have the additional

'filter_index'=>'main_table.increment_id',

Copy file 

app/code/core/Mage/Adminhtml/Block/Sales/Order/Grid.php to 
app/code/local/Mage/Adminhtml/Block/Sales/Order/Grid.php

Find function _prepareColumns()

Change

       $this->addColumn('real_order_id', array(
            'header'=> Mage::helper('sales')->__('Order #'),
            'width' => '80px',
            'type'  => 'text',
            'index' => 'increment_id',
        ));

To 

       $this->addColumn('real_order_id', array(
            'header'=> Mage::helper('sales')->__('Order #'),
            'width' => '80px',
            'type'  => 'text',
            'index' => 'increment_id',
			'filter_index'=>'main_table.increment_id',
        ));