ComboBox and sorting it

I'm writing an MFC dialog application (yes, I know MFC is evil) and I have placed a combobox control. In my InitDialg routine, I load it up with, for example:

Texas
California
New Jersey

In the properties of the combobox, I have sort set to true. So I'm hoping that the outcome is alphabetically sorted.

The outcome is exactly the order in which it was loaded.

What am I missing here?

Thanks
Phil

Maybe you need to supply the sorting routine? Not sure.