SQL - order by...

Hi all,

not quite sure if this is the correct forum to post this, so pls point me to the right direction if im wrong.

I thought the "order by"-statement in SQL was supposed to order things.. hehe
Here is the result of a query (select name from customer order by name; ) when it is displayed in my DataGridView.

name:
DET NORSKE VERITAS
DHR Reklamebyrå
Dansih Air Transport
UPC
UniAutomation AS
Worums
admInn
iFokus
Åkra Bil

That list aint in order!! Any idea what may cause this, or how i can fix it?
Thanx in advance :)