I've had Google Analytics set up for my account and I've had some orders since. But now that the account is set up, I want to know exactly WHICH ad a particular customer clicked on to get to my site when they made a purchase?
There are two ways to do this. The simplest is to implement "conversion tracking" by placing the Google "conversion tracking code" on your order-confirmation page. Then, your AdWords data should show you which keywords led to orders.
A second strategy is to use destination URLs that embed your keywords, so that when someone searches for "green widget" and clicks on your ad, the destination URL for that keyword might be
X.net/w8.htm?k=green+widget
This second method does not provide automatic reporting, but it's possible to view your log files to determine how each customer got to your web site. (Sometimes your e-commerce solution provider may have special tools for tracking, and if you have implemented an "affiliate program" then your affiliate solution may also provide for some method of keyword tracking and reporting.)
You might also consider setting up Google Analytics for your site, but it has a steep learning curve for most folks.