Thanks Cody and Mattias:
What I did was roll my own compare class that called the StrCmpLogicalW
function.  Unfortunately this limits my users to XP only since it's not
available on 2000.
I need to check for string nulls but below is a code fragment to sort file
names as in the XP File Explorer:

Declare Unicode Function StrLogicalComparer Lib "shlwapi.dll" _
   Alias "StrCmpLogicalW" (ByVal str1 As String, ByVal str2 As String) As
Integer

   Public Class StrLogicalComparerClass
       Implements IComparer

       Function Compare(ByVal x As [Object], ByVal y As [Object]) As
Integer _
          Implements IComparer.Compare
           Dim text1, text2 As String
           text1 = CStr(x)
           text2 = CStr(y)
           Return StrLogicalComparer(text1, text2)
       End Function 'IComparer.Compare
   End Class 'StrLogicalComparerClass