About the built-in Search?

Is it possible to search for “Starts with the letter A” in WordPress?

I’m trying to figure out how to set up an index of posts that start with A, B, C, D, E, F, G, etc. (I mean the post title starts with that letter).

A site that does it is Fashion Illustrated Glossery. It looks like they did it by making a category for each letter? That seems like a pain to manually put every post into a Letter cat.
http://www.cartapacio.com/index.php/category/fashion-illustrated-glossary/

My idea was to set up links to all the searches if it would be like
http://dgold.info/radio/search/firstletter=A