The [billing] -> [invoices] listing, as Ken mentioned, shows the client name when you hover over the Client #. If you want to sort by the client name, you can update /app/views/admin/default/admin_billing_invoices.pdt to either add a new column for the client's name, or replace the Client # column with the client name.
Each column only supports one field for sorting, so you would use either the client's first name (client_first_name) or client's last name (client_last_name) as the field to sort on. If you're familiar with HTML and PHP, it should be fairly straight-forward to add this in through the template.