Ordenar/ordenar en MySQL

Puede dividirlos en sus partes constituyentes como:

SELECT REPLACE(SUBSTRING(SUBSTRING_INDEX(prog_id, '.', 1),
       LENGTH(SUBSTRING_INDEX(prog_id, '.', 1 -1)) + 1),
       '.', '') AS id1,
       REPLACE(SUBSTRING(SUBSTRING_INDEX(prog_id, '.', 2),
       LENGTH(SUBSTRING_INDEX(prog_id, '.', 2 -1)) + 1),
       '.', '') AS id2,
       REPLACE(SUBSTRING(SUBSTRING_INDEX(prog_id, '.', 3),
       LENGTH(SUBSTRING_INDEX(prog_id, '.', 3 -1)) + 1),
       '.', '') AS id3
FROM programs
ORDER BY CAST(id1 AS INT(4)), CAST(id2 AS INT(4)), CAST(id3 AS INT(4))

El mejor método sería crear los campos adicionales como dice yoda2k, pero si no tiene ese acceso, puede usar lo anterior.

Podría encapsular eso en una función como:

CREATE FUNCTION SPLIT_STR(
  x VARCHAR(255),
  delim VARCHAR(12),
  pos INT
)
RETURNS VARCHAR(255)
RETURN REPLACE(SUBSTRING(SUBSTRING_INDEX(x, delim, pos),
       LENGTH(SUBSTRING_INDEX(x, delim, pos -1)) + 1),
       delim, '');

Luego haz:

SELECT SPLIT_STR(prog_id, '.', 1) AS id1,
   SPLIT_STR(prog_id, '.', 2) AS id2,
   SPLIT_STR(prog_id, '.', 3) AS id3,
FROM programs
ORDER BY CAST(id1 AS INT(4)), CAST(id2 AS INT(4)), CAST(id3 AS INT(4))