$collection->getSelect()->join(array('Shipping'=>'sales_flat_order_address'),
'main_table.entity_id=Shipping.parent_id
and Shipping.address_type="Shipping"',array('firstname'));

$this->addColumn('firstname', array(
        'header' => Mage::helper('sales')->__('firstname'),
        'index' => 'firstname',
        'filter_index' => 'firstname',
    ));

$collection->getSelect()->join(array('Shipping'=>'sales_flat_order_address'),
'main_table.entity_id=Shipping.parent_id
and Shipping.address_type="Shipping"',array('firstname'));

$collection->getSelect()->join(array('Shipping'=>'sales_flat_order_address'),
'main_table.entity_id=Shipping.parent_id
and Shipping.address_type="Shipping"',array('lastname'));

$this->addColumn('firstname', array(
        'header' => Mage::helper('sales')->__('firstname'),
        'index' => 'firstname',
        'filter_index' => 'firstname',
    ));

        $this->addColumn('lastname', array(
        'header' => Mage::helper('sales')->__('telephone'),
        'index' => 'lastname',
        'filter_index' => 'lastname',
    ));

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