If SQL Statement in Tquery include "Order by" or
Huge Data make application hold up,
What could I do to cancel the process?

I am assuming here that you are talking about a connection
to an Oracle Database.  If so,  Russell L.Smith answered this
in a previous newsgroup posting.  It was a lifesaver for me.
Basically you run the open query in a thread,  and then use
the Oracle OCI Break call.  To find his post (with sample
code) go to Dejanews (www.dejanews.com) and search
for the heading:

Re: How to destrouy a very long query ?
    in
borland.public.delphi.database.sqlservers

        Good luck,
                    Jeff