What you're looking for is a natural (as opposed to lexical) sort, which most (all?) databases lack.
A common solution is to create another column to serve as a sort key. In your example, it might be A01, A02, ... A10. Or two columns, one with the leading alpha, sorted lexically, and the other with the number, sorted numerically (and a two-column major-minor sort).
Read the following comments in the below link for examples on
performing this with postgresql.
http://www.postgresql.org/docs/8.0/interactive/queries-order.html
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Thadeus