A raw list in alphabetic order is probably fine. They can use the find function on their browser to locate things from there. However, if you -really- want a list that you can jump around in by letter:

use strict;
use warnings;

my (@names, $f, %names);

chomp (@names = <DATA>);
for (@names) {
    $f = substr($_, 0, 1);
    push @{$names{$f}}, $_;
}

print join ', ', map { "<a href=\"#$_\">$_</a>" } sort keys %names;
print "<p>\n\n";
for (sort keys %names) {
    print "<a name=\"$_\"></a><b>$_</b>\n<ul>";
    print join "\n", map { "<li>$_" } sort @{$names{$_}};
    print "</ul><p>\n\n";
}

__DATA__
Alvin
Clarissa
Kappa
Bob
Bubba
Zim
[download]

There's probably a CSS way to make it so just pressing a key on the keyboard jumps to that letter, but I'm not going to complicate things.