Some more details:

MySQL version is 5.0.x (depends on server )
OS: XP Pro, XP Home, Vista Home Premium, Vista Ultimate, Linux (depends on server). The problem exists everywhere.

Wrong order: Let's say we have a column "word" with 2 records: apple and önt. The correct order is:
1. apple
2. önt

But the "order by word asc" results:
1. önt
2. apple