UPGRADE for 6.x - This module will not be upgraded to to 6.x because you can accomplish something similar with Views 2 already built in, read this.
The views_alpha_pager is a simple module that implements an alphabet pager (A B C) instead of a numeric pager (1 2 3) for views. This module relies upon a reasonable alpha sort order defined in the view. When one is not defined, it reverts to the numeric pager.
Copy views_alpha_pager.module to your module directory and then enable on the admin modules page. Then, edit your view, and select the Pager option "Alpha". Add a view "Sort" that returns the sorted field in an alphabetic sort (i.e., don't sort by id or date, but rather by title or author).
This module is partially supported by CivicActions.