I used ORDER BY in you code a couple of times and I have no problem with it. It is an added feature on 9.3.1. I don't see why it would not work on 10...
so can you show an example of your code? i'm not so sure if the problem lies with ver 9.3.1 or ver 10.. the problem lies with the version of the API... I'm using v2.2 of the Javascript API .... here's my code and it just dies at the "query.where" line...if i take out the ".. ORDER BY" and just use query.where = "ACTIVE = 'Y'" then it works without a hitch
var queryTask = new esri.tasks.QueryTask(serviceURL + "/" + index);
var query = new esri.tasks.Query();
query.returnGeometry = false;
query.outFields = ["INDEX", "ADDRESS", "ZIP"];
query.where = "ACTIVE = 'Y'.. ORDER BY INDEX";
queryTask.execute(query,queryResults);