Creating the linked Alphabet Letters to Navigate All Posts

I need to create the letters (A thru to Z) across the top of my page (under the header) to access the posts listed down below. (Now that I’ve gotten them to list alphabetically).

Yes, I looked at the Glossary page… (that is what I want – just like that). But I’ve probably missed the clue to creating the A-Z clickable menu.

Am I to make each letter a category? How does this work?

Any help much appreciated…