Make a Custom field Searchable in a Lookup

I have a Lookup field on the Opportunity to the Location Object.

All the location records have the same name, and that makes it hard to find them. I need to have the ability to search by the field "Shipping Country" when using the lookup:

Does anyone knows how to make the custom Picklist  "Shipping Country" field available to be searched on the lookup?

Thanks :):)