Look at the code of the memberslist page.
What you'll have to do is basicly just add a row of links, each with a special var in them, like &letter=A, then on the page check if $_REQUEST['letter'] is set and if it is add a WHERE title LIKE 'A%' to the sql query.
Also, you might want to add letter to the globalize() array.
Hope you understand at least a bit of that