The following table shows the codes to program into your Radio Shack 7-Channel Weatheradio with NWR-SAME Severe-Weather Alert. The code consists of a digit to indicate what part of a county (0 for the whole county; 1-9 for portions -- not yet used by NWS). The next two digits are the state code (e.g. 36 for NY). The final three digits are the county code (119 for Westchester).
You can find more information about this radio and a complete list of FIPS codes at the Radio Shack support site for this model.
You might want to start by picking several counties and then reduce the number if you find too many non-essential alerts are coming in. Or, be real picky and just set it to listen for Westchester with code 036119.