Please excuse my ignorance: are post codes always in the format
alpha-alpha-number-number-number?

Excel is treating these entries as text because of the BA characters.
If you separate the alpha characters from the numerics into two
different columns, you can sort on the different columns to get your
desired results. So if you enter two new columns, you can parse the
alpha characters into one column using this formula (assuming that post
codes always have two leading alpha characters, which was the genesis
behind my original question):
=MID(A1,1,2)
.... where A1 is a post code.

Then get the numeric portion in a new column with this formula:
=MID(A1,3,LEN(A1))

If a post code has a varying number of leading alpha characters, let us
know and we'll try a different solution.