I have figured it out! Please see the code snippet below:

        Dim lobjCustomerList As CustomerList
        Dim SortExp As SortExpression
        Dim modifiers As LoadModifiers

            SortExp = SortExpression.OrderByAscending("Customer.ID")

            lobjCustomerList = lobjCompany.Factories.CustomerFactory.List()

            Dim sortlist As SortExpressionList
            modifiers = LoadModifiers.Create()
            sortlist = modifiers.Sorts
            sortlist.Add(SortExp)

            lobjCustomerList.Load(modifiers)


            If lobjCustomerList.Count > 0 Then
                For Each lobjCustomer In lobjCustomerList
                    Debug.WriteLine(lobjCustomer.ID)
                Next
            End If

Hopefully this will help someone else out in the future.

Graham