Since the file is large you could try something like this:

1. go through the whole file getting only the zip codes
2. sort the zip codes in the order you need
3. loop through the zips, for each zip go through the file and output the matched records.

This is very inefficent but, if your file is too large to put into memory and time isn't a big deal, it should work.

Edit: I just realised I described a very poor method similar to dws's 2nd suggestion. I would go with dws's 2nd suggestion