It is recommended to sort the data before databinding it to the DropDownList but in case you can not, this is how you would sort the items in the DropDownList.
First you need a comparison class
Public Class ListItemComparer
    Implements IComparer(Of ListItem)
    Public Function Compare(ByVal x As ListItem, ByVal y As ListItem) As Integer _
        Implements IComparer(Of ListItem).Compare
        Dim c As New CaseInsensitiveComparer
        Return c.Compare(x.Text, y.Text)
    End Function
End Class
Then you need a method that will use this Comparer to sort the DropDownList
Public Shared Sub SortDropDown(ByVal cbo As DropDownList)
    Dim lstListItems As New List(Of ListItem)
    For Each li As ListItem In cbo.Items
        lstListItems.Add(li)
    Next
    lstListItems.Sort(New ListItemComparer)
    cbo.Items.Clear()
    cbo.Items.AddRange(lstListItems.ToArray)
End Sub
Finally, call this function with your DropDownList (after it's been databound)
SortDropDown(cboMyDropDown)
P.S. Sorry but my choice of language is VB. You can use http://converter.telerik.com/ to convert the code from VB to C#