I just ran this in SQL Server Management Studio - note I mixed up the rows in the input so they were not in sorted order:
create table #temp( ID Char(3));
insert into #temp (ID)
select '111' union
select '221';
select '0' union
select '21' union
select '1' union
select '11' union
select '211' union
select '121' union
select '2' union
select '22' union
select * from #temp order by ID;
I got the following output:
ID
----
0
1
11
111
121
2
21
211
22
221
(10 row(s) affected)
If you're getting different results, you're doing something wrong. However, it's hard to say what because you didn't post anything about how you're retrieving the data from the database.
Edit: Some clarification by the poster indicates that the display is in a TDBGrid attached to a table using Component Ace ABS Database. If that indeed is the case, then the answer is to create an index on the indicated column, and then set the table's IndexName property to use that index.