it sounds like you are recording the dates as text. This is why they are being sorted 01/01, 01/02 etc.
The easiest solution would be to see if you can convert the field in the table to a date field.
If this is not possibel then you could try either the format, or convert function in the query to convert the field to a date, then sort on that.
If you need any help on the convert or format function please post back here.