For natural sorting in my application I currently P/Invoke a function called StrCmpLogicalW in shlwapi.dll. I was thinking about trying to run my application under Mono, but
http://www.interact-sw.co.uk/iangblog/2007/12/13/natural-sorting seems to be what you're looking for.
(and no, there is no managed equivalent to StrCmpLogicalW built into .NET)